Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Editor's note pp. 1145-1146: Robert I. Webb
Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange pp. 1147-1167: 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: Lars Nordén
Transaction tax and market quality of the Taiwan stock index futures pp. 1195-1216: Robin K. Chou and George H. K. Wang
Dynamic trading value at risk: Futures floor trading pp. 1217-1234: Jongdoo Lee and Peter Locke

Causality in futures markets pp. 1039-1057: Henry L. Bryant, David Bessler and Michael S. Haigh
Asymmetric hedging of the corporate terms of trade pp. 1059-1088: 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: Joel Rentzler, Kishore Tandon and Susana Yu
Price discovery in the foreign exchange futures market pp. 1131-1143: Yiuman Tse, Ju Xiang and Joseph K. W. Fung

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

Option bid‐ask spread and scalping risk: Evidence from a covered warrants market pp. 843-867: Giovanni Petrella
Nonlinear asymmetric models of the short‐term interest rate pp. 869-894: K. Ozgur Demirtas
Valuation and optimal strategies of convertible bonds pp. 895-922: 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: Manuel Illueca and Juan Angel Lafuente

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

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

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

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

Holy mad cow! Facts or (mis)perceptions: A clinical study pp. 315-341: 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: David G. McMillan and Alan E. H. Speight
Hedging and value at risk pp. 369-390: Richard Harris and Jian Shen
An empirical analysis of commodity pricing pp. 391-415: Richard Heaney

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

A random coefficient autoregressive Markov regime switching model for dynamic futures hedging pp. 103-129: 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: Robin K. Chou and Huimin Chung
The Chinese interbank repo market: An analysis of term premiums pp. 153-167: Longzhen Fan and Chu Zhang
Jumping hedges: An examination of movements in copper spot and futures markets pp. 169-188: Wing Chan and Denise Young
A hedging deficiency in eurodollar futures pp. 189-207: Don M. Chance

Volatility options: Hedging effectiveness, pricing, and model error pp. 1-31: 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: Brice Dupoyet
Dynamics of intraday serial correlation in the Italian futures market pp. 61-84: Simone Bianco and Roberto Renò
The valuation of European options when asset returns are autocorrelated pp. 85-102: Szu‐Lang Liao and Chao‐Chun Chen