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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 24, issue 12, 2004

Editor's note pp. 1105-1105 Downloads
Robert I. Webb
A model of price discovery and market design: Theory and empirical evidence pp. 1107-1146 Downloads
Michael T. Chng
Splitting the S&P 500 futures pp. 1147-1163 Downloads
Jianli Chen and Peter R. Locke
Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options pp. 1165-1194 Downloads
Kam C. Chan, Louis T. W. Cheng and Peter P. Lung
Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets pp. 1195-1228 Downloads
Sung C. Bae, Taek Ho Kwon and Jong Won Park

Volume 24, issue 11, 2004

Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility pp. 1005-1028 Downloads
Martin Martens and Jason Zein
Volatility and commodity price dynamics pp. 1029-1047 Downloads
Robert Pindyck
An empirical examination of the pricing of exchange‐traded barrier options pp. 1049-1064 Downloads
Steve Easton, Richard Gerlach, Melissa Graham and Frank Tuyl
Weather derivatives valuation and market price of weather risk pp. 1065-1089 Downloads
Melanie Cao and Jason Wei
Editor's note pp. 1091-1091 Downloads
Robert I. Webb
Hedging long‐term commodity risk: A comment pp. 1093-1099 Downloads
Donald Lien and Yan Wang
Comparing alternative assumptions on the term structure of futures prices: Reply pp. 1101-1104 Downloads
Frans A. De Roon and Yulia V. Veld‐Merkoulova

Volume 24, issue 10, 2004

Liquidity constraints and the hedging role of futures spreads pp. 909-921 Downloads
Kit Pong Wong
Interdealer trading in futures markets pp. 923-944 Downloads
Peter R. Locke and Pattarake Sarajoti
Conditional OLS minimum variance hedge ratios pp. 945-964 Downloads
Joëlle Miffre
The impact of time duration between trades on the price of treasury note futures contracts pp. 965-980 Downloads
Mark E. Holder, Min Qi and Amit K. Sinha
The contribution of a satellite market to price discovery: Evidence from the Singapore exchange pp. 981-1004 Downloads
Vicentiu Covrig, David K. Ding and Buen Sin Low

Volume 24, issue 9, 2004

Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market pp. 805-834 Downloads
Nick Taylor
The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT pp. 835-860 Downloads
Yu Chuan Huang
Information content of extended trading for index futures pp. 861-886 Downloads
Louis T. W. Cheng, Li Jiang and Renne W. Y. Ng
Price discovery in the hang seng index markets: Index, futures, and the tracker fund pp. 887-907 Downloads
Raymond W. So and Yiuman Tse

Volume 24, issue 8, 2004

Editor's Note pp. 707-707 Downloads
Robert I. Webb
Information and Noise in U.K. Futures Markets pp. 711-731 Downloads
Phil Holmes and Mark Tomsett
Extracting the Expected Path of Monetary Policy From Futures Rates pp. 733-754 Downloads
Brian Sack
The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets pp. 755-784 Downloads
Andrew C. Szakmary and Dean B. Kiefer
Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange pp. 785-804 Downloads
Alex Frino, Frederick H. deB. Harris, Thomas McInish and Michael J. Tomas

Volume 24, issue 7, 2004

Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases pp. 609-629 Downloads
Dieter Hess
Pricing credit spread options under a Markov chain model with stochastic default rate pp. 631-648 Downloads
Jangkoo Kang and Hwa‐Sung Kim
A Markov regime switching approach for hedging stock indices pp. 649-674 Downloads
Amir Alizadeh and Nikos Nomikos
The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney pp. 675-696 Downloads
Michael Aitken, Alex Frino, Amelia M. Hill and Elvis Jarnecic
Hedging, liquidity, and the competitive firm under price uncertainty pp. 697-706 Downloads
Kit Pong Wong

Volume 24, issue 6, 2004

Anatomy of option features in convertible bonds pp. 513-532 Downloads
Ka Wo Lau and Yue Kuen Kwok
The performance of event study approaches using daily commodity futures returns pp. 533-555 Downloads
Andrew M. Mckenzie, Michael R. Thomsen and Bruce L. Dixon
Contract modifications and the basis behavior of live cattle futures pp. 557-590 Downloads
James E. Newsome, George H. K. Wang, M. E. Boyd and Marty J. Fuller
Do futures‐based strategies enhance dynamic portfolio insurance? pp. 591-608 Downloads
Binh Do and Robert Faff

Volume 24, issue 5, 2004

Clustering in the futures market: Evidence from S&P 500 futures contracts pp. 413-428 Downloads
Adam L. Schwartz, Bonnie F. Van Ness and Robert A. Van Ness
Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information pp. 429-451 Downloads
Matthew P. Schaefer, Robert J. Myers and Stephen R. Koontz
An examination of the impact of macroeconomic news on the spot and futures treasuries markets pp. 453-478 Downloads
Marc W. Simpson and Sanjay Ramchander
Do designated market makers improve liquidity in open‐outcry futures markets? pp. 479-502 Downloads
Yiuman Tse and Tatyana Zabotina
A note on price futures versus revenue futures contracts pp. 503-512 Downloads
Donald Lien and David Hennessy

Volume 24, issue 4, 2004

Regime switching in the yield curve pp. 315-336 Downloads
Charlotte Christiansen
The index futures markets: Is screen trading more efficient? pp. 337-357 Downloads
Laurence Copeland, Kin Lam and Sally‐Ann Jones
An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios pp. 359-386 Downloads
Sheng‐Syan Chen, Cheng‐Few Lee and Keshab Shrestha
Time variation in the tail behavior of Bund future returns pp. 387-398 Downloads
Thomas Werner and Christian Upper
Regulatory changes and information competition: The case of Taiwan index futures pp. 399-412 Downloads
Wen‐liang Gideon Hsieh

Volume 24, issue 3, 2004

Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach pp. 221-250 Downloads
Ilias Lekkos and Costas Milas
Switching asymmetric GARCH and options on a volatility index pp. 251-282 Downloads
Hazem Daouk and Jie Qun Guo
Natural gas prices and the gas storage report: Public news and volatility in energy futures markets pp. 283-313 Downloads
Scott Linn and Zhen Zhu

Volume 24, issue 2, 2004

A theoretical framework to evaluate different margin‐setting methodologies pp. 117-145 Downloads
Kin Lam, Chor-yiu (CY) Sin and Rico Leung
Distributions implied by American currency futures options: A ghost's smile? pp. 147-178 Downloads
Martin Cincibuch
Knock‐in American options pp. 179-192 Downloads
Min Dai and Yue Kuen Kwok
Minimum capital requirement calculations for UK futures pp. 193-220 Downloads
John Cotter

Volume 24, issue 1, 2004

Editor's note pp. 1-1 Downloads
Robert I. Webb
Valuing credit derivatives using Gaussian quadrature: A stochastic volatility framework pp. 3-35 Downloads
Nabil Tahani
Copula sensitivity in collateralized debt obligations and basket default swaps pp. 37-70 Downloads
Davide Meneguzzo and Walter Vecchiato
Explaining credit default swap premia pp. 71-92 Downloads
Christoph Benkert
The credit risk components of a swap portfolio pp. 93-115 Downloads
Georges Hübner
Page updated 2020-08-10