Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 28, issue 12, 2008

Editor's Note pp. 1117-1117

Robert I. Webb

Informed trading in the index option market: The case of KOSPI 200 options pp. 1118-1146

Hee‐Joon Ahn, Jangkoo Kang and Doojin Ryu

Large trades and intraday futures price behavior pp. 1147-1181

Alex Frino, Johan Bjursell, George H. K. Wang and Andrew Lepone

The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS pp. 1182-1205

Nivine Richie, Robert T. Daigler and Kimberly C. Gleason

Can exchange seat prices predict financial market volatility? pp. 1206-1221

Taewoo You and Mark E. Holder

Volume 28, issue 11, 2008

The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets pp. 1013-1039

Dean Diavatopoulos, James Doran and David R. Peterson

Testing the martingale hypothesis for futures prices: Implications for hedgers pp. 1040-1065

Cédric de Ville de Goyet, Geert Dhaene and Piet Sercu

The economic value of volatility transmission between the stock and bond markets pp. 1066-1094

Helena Chuliá and Hipolit Torro

Dynamic hedging with futures: A copula‐based GARCH model pp. 1095-1116

Chih‐Chiang Hsu, Chih‐Ping Tseng and Yaw‐Huei Wang

Volume 28, issue 10, 2008

The specification of GARCH models with stochastic covariates pp. 911-934

Jeff Fleming, Chris Kirby and Barbara Ostdiek

Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens pp. 935-962

Isabel Figuerola‐Ferretti and Christopher L. Gilbert

An examination of the complementary volume–volatility information theories pp. 963-992

Zhiyao Chen and Robert T. Daigler

Realized volatility and correlation in energy futures markets pp. 993-1011

Tao Wang, Jingtao Wu and Jian Yang

Volume 28, issue 9, 2008

Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns pp. 815-844

Dimitrios Thomakos, Tao Wang, Jingtao Wu and Russell P. Chuderewicz

The impact of return nonnormality on exchange options pp. 845-870

Minqiang Li

Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets pp. 871-888

Alexander Kurov

Cross‐market efficiency in the Indian derivatives market: A test of put–call parity pp. 889-910

Vipul

Volume 28, issue 8, 2008

Nonparametric American option pricing pp. 717-748

Jamie Alcock and Trent Carmichael

Production, liquidity, and futures price dynamics pp. 749-762

Kit Pong Wong

Do tax‐exempt yields adjust slowly to substantial changes in taxable yields? pp. 763-789

Donna Dudney and John Geppert

HDD and CDD option pricing with market price of weather risk for Taiwan pp. 790-814

Hung‐Hsi Huang, Yung‐Ming Shiu and Pei‐Syun Lin

Volume 28, issue 7, 2008

In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets pp. 617-633

Russell Poskitt

The valuation of inflation‐indexed and FX convertible bonds pp. 634-655

Yoram Landskroner and Alon Raviv

An analysis of the failed municipal bond and note futures contracts pp. 656-679

Patrick J. Cusatis

A test of the Samuelson Hypothesis using realized range pp. 680-696

Petko S. Kalev and Huu Nhan Duong

Valuation of floating range notes in a LIBOR market model pp. 697-710

Ting‐Pin Wu and Son‐Nan Chen

A note on estimating the benefit of a composite hedge pp. 711-716

Donald Lien

Volume 28, issue 6, 2008

Editor's note pp. 517-517

Robert I. Webb

Efficiency of single‐stock futures: An intraday analysis pp. 518-536

Joseph K.W. Fung and Yiuman Tse

A multicommodity model of futures prices: Using futures prices of one commodity to estimate the stochastic process of another pp. 537-560

Gonzalo Cortazar, Carlos Milla and Felipe Severino

Estimation and forecasting of stock volatility with range‐based estimators pp. 561-581

Joshy Jacob and Vipul

Credit risk management in Greater China pp. 582-597

Hans Byström

Pricing European Asian options with skewness and kurtosis in the underlying distribution pp. 598-616

Keng‐Hsin Lo, Kehluh Wang and Ming‐Feng Hsu

Volume 28, issue 5, 2008

Does adverse selection affect bid–ask spreads for options? pp. 417-437

Söhnke Bartram, Frank Fehle and David G. Shrider

Volatility dynamics of NYMEX natural gas futures prices pp. 438-463

Hiroaki Suenaga, Aaron Smith and Jeffrey Williams

Pricing and hedging illiquid energy derivatives: An application to the JCC index pp. 464-487

Elisa Scarpa and Matteo Manera

A generalization of Rubinstein's “Pay now, choose later” pp. 488-515

Jia‐Hau Guo and Mao‐Wei Hung

Volume 28, issue 4, 2008

Intraday volatility in the bond, foreign exchange, and stock index futures markets pp. 313-334

Valeria Martinez and Yiuman Tse

Information revelation in the futures market: Evidence from single stock futures pp. 335-353

Kuldeep Shastri, Ramabhadran S. Thirumalai and Chad J. Zutter

Price discovery in the options markets: An application of put‐call parity pp. 354-375

Wen‐Liang G. Hsieh, Chin‐Shen Lee and Shu‐Fang Yuan

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates pp. 376-397

Rainer Baule, Oliver Entrop and Marco Wilkens

Efficiency of the IBEX spot–futures basis: The impact of the mini‐futures pp. 398-415

David G. McMillan and Raquel Quiroga-Garcia

Volume 28, issue 3, 2008

Closed‐form option pricing formulas with extreme events pp. 213-230

António Câmara and Steven L. Heston

Valuing stock options when prices are subject to a lower boundary pp. 231-247

Dirk Veestraeten

Hedging under counterparty credit uncertainty pp. 248-263

Olivier Mahul and John Cummins

Does deliverability enhance the value of U.S. Treasury bonds? pp. 264-274

David R. Kuipers

Path‐dependent currency options with mean reversion pp. 275-293

Hoi Ying Wong and Ka Yung Lau

Intraday behavior of market depth in a competitive dealer market: A note pp. 294-307

Alex Frino, Andrew Lepone and Grant Wearin

A further note on the optimality of the OLS hedge strategy pp. 308-311

Donald Lien

Volume 28, issue 2, 2008

The compatibility of one‐factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance pp. 109-130

Yunbi An and Wulin Suo

Interdealer inference and price discovery pp. 131-154

Tzu‐man Huang and Peter Locke

Value at risk and conditional extreme value theory via markov regime switching models pp. 155-181

Yau Man Ze‐to Samuel

Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement pp. 182-207

Viviana Fernandez

Optimal futures heading: Quadratic versus exponential utility functions pp. 208-211

Donald Lien

Volume 28, issue 1, 2008

Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures pp. 1-33

Turan G. Bali and K. Ozgur Demirtas

Forecasting oil price movements: Exploiting the information in the futures market pp. 34-56

Andrea Coppola

Smiling less at LIFFE pp. 57-81

Bing‐Huei Lin, Ing‐Jye Chang and Dean A. Paxson

Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model pp. 82-107

Ying Huang, Carl R. Chen and Maximo Camacho