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Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 26, issue 12, 2006

Editor's note pp. 1145-1146 Downloads
Robert I. Webb
Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange pp. 1147-1167 Downloads
Luke Bortoli, Alex Frino, Elvis Jarnecic and David Johnstone
Does an index futures split enhance trading activity and hedging effectiveness of the futures contract? pp. 1169-1194 Downloads
Lars Nordén
Transaction tax and market quality of the Taiwan stock index futures pp. 1195-1216 Downloads
Robin K. Chou and George H. K. Wang
Dynamic trading value at risk: Futures floor trading pp. 1217-1234 Downloads
Jongdoo Lee and Peter Locke

Volume 26, issue 11, 2006

Causality in futures markets pp. 1039-1057 Downloads
Henry L. Bryant, David Bessler and Michael S. Haigh
Asymmetric hedging of the corporate terms of trade pp. 1059-1088 Downloads
Roger Bowden and Jennifer Zhu
Intraday price‐reversal patterns in the currency futures market: The impact of the introduction of GLOBEX and the euro pp. 1089-1130 Downloads
Joel Rentzler, Kishore Tandon and Susana Yu
Price discovery in the foreign exchange futures market pp. 1131-1143 Downloads
Yiuman Tse, Ju Xiang and Joseph K. W. Fung

Volume 26, issue 10, 2006

Currency barrier option pricing with mean reversion pp. 939-958 Downloads
C. H. Hui and C. F. Lo
Central bank communications and equity ETFs pp. 959-995 Downloads
Tao Wang, Jian Yang and Jingtao Wu
Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals pp. 997-1018 Downloads
Douglas J. Miller and Wei‐Han Liu
Spot‐futures spread, time‐varying correlation, and hedging with currency futures pp. 1019-1038 Downloads
Donald Lien and Li Yang

Volume 26, issue 9, 2006

Option bid‐ask spread and scalping risk: Evidence from a covered warrants market pp. 843-867 Downloads
Giovanni Petrella
Nonlinear asymmetric models of the short‐term interest rate pp. 869-894 Downloads
K. Ozgur Demirtas
Valuation and optimal strategies of convertible bonds pp. 895-922 Downloads
Szu‐Lang Liao and Hsing‐Hua Huang
New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange pp. 923-938 Downloads
Manuel Illueca and J. A. LaFuente

Volume 26, issue 8, 2006

Improving lattice schemes through bias reduction pp. 733-757 Downloads
Michel Denault, Geneviève Gauthier and Jean‐Guy Simonato
Option pricing for the transformed‐binomial class pp. 759-788 Downloads
António Câmara and San‐Lin Chung
Liquidity risk and the hedging role of options pp. 789-808 Downloads
Kit Pong Wong and Jianguo Xu
Multifactor implied volatility functions for HJM models pp. 809-833 Downloads
I‐Doun Kuo and Dean A. Paxson
Estimation bias of futures hedging performance: A note pp. 835-841 Downloads
Donald Lien

Volume 26, issue 7, 2006

New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market pp. 627-656 Downloads
Kleopatra Nikolaou and Lucio Sarno
Updating the estimation of the supply of storage pp. 657-676 Downloads
Carl R. Zulauf, Haijiang Zhou and Matthew C. Roberts
Reevaluating hedging performance pp. 677-702 Downloads
John Cotter and Jim Hanly
Black‐Scholes‐Merton revisited under stochastic dividend yields pp. 703-732 Downloads
Abraham Lioui

Volume 26, issue 6, 2006

VIX futures pp. 521-531 Downloads
Jin E. Zhang and Yingzi Zhu
Too many options? Theory and evidence on option exchange design pp. 533-570 Downloads
Frank Fehle
Persistence of volatility in futures markets pp. 571-594 Downloads
Zhiyao Chen, Robert T. Daigler and Ali M. Parhizgari
Asymmetric information and credit quality: Evidence from synthetic fixed‐rate financing pp. 595-625 Downloads
Betty Simkins and Daniel A. Rogers

Volume 26, issue 5, 2006

A non‐lattice pricing model of American options under stochastic volatility pp. 417-448 Downloads
Zhe Zhang and Kian‐Guan Lim
Static hedging and model risk for barrier options pp. 449-463 Downloads
Morten Nalholm and Rolf Poulsen
Long‐term information, short‐lived securities pp. 466-502 Downloads
Dan Bernhardt, Ryan Davies and John Spicer
The impact of skewness in the hedging decision pp. 503-520 Downloads
Scott Gilbert, Samuel Kyle Jones and Gay Hatfield Morris

Volume 26, issue 4, 2006

Holy mad cow! Facts or (mis)perceptions: A clinical study pp. 315-341 Downloads
Yiuman Tse and James C. Hackard
Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data pp. 343-368 Downloads
David G. McMillan and Alan E. H. Speight
Hedging and value at risk pp. 369-390 Downloads
Richard Harris and Jian Shen
An empirical analysis of commodity pricing pp. 391-415 Downloads
Richard Heaney

Volume 26, issue 3, 2006

Migration of price discovery in semiregulated derivatives markets pp. 209-241 Downloads
Anthony Hall, Paul Kofman and Steven Manaster
An N‐factor Gaussian model of oil futures prices pp. 243-268 Downloads
Gonzalo Cortazar and Lorenzo Naranjo
Price clustering in E‐mini and floor‐traded index futures pp. 269-295 Downloads
Huimin Chung and Shumei Chiang
Testing range estimators of historical volatility pp. 297-313 Downloads
Jinghong Shu and Jin E. Zhang

Volume 26, issue 2, 2006

A random coefficient autoregressive Markov regime switching model for dynamic futures hedging pp. 103-129 Downloads
Hsiang‐Tai Lee, Jonathan K. Yoder, Ron Mittelhammer and Jill McCluskey
Decimalization, trading costs, and information transmission between ETFs and index futures pp. 131-151 Downloads
Robin K. Chou and Huimin Chung
The Chinese interbank repo market: An analysis of term premiums pp. 153-167 Downloads
Longzhen Fan and Chu Zhang
Jumping hedges: An examination of movements in copper spot and futures markets pp. 169-188 Downloads
Wing Chan and Denise Young
A hedging deficiency in eurodollar futures pp. 189-207 Downloads
Don M. Chance

Volume 26, issue 1, 2006

Volatility options: Hedging effectiveness, pricing, and model error pp. 1-31 Downloads
Dimitris Psychoyios and George Skiadopoulos
Information content of cross‐sectional option prices: A comparison of alternative currency option pricing models on the Japanese yen pp. 33-59 Downloads
Brice Dupoyet
Dynamics of intraday serial correlation in the Italian futures market pp. 61-84 Downloads
Simone Bianco and Roberto Renò
The valuation of European options when asset returns are autocorrelated pp. 85-102 Downloads
Szu‐Lang Liao and Chao‐Chun Chen
Page updated 2020-08-10