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. 1105-1105: Robert I. Webb
A model of price discovery and market design: Theory and empirical evidence pp. 1107-1146: Michael T. Chng
Splitting the S&P 500 futures pp. 1147-1163: Jianli Chen and Peter R. Locke
Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options pp. 1165-1194: 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: Sung C. Bae, Taek Ho Kwon and Jong Won Park

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

Liquidity constraints and the hedging role of futures spreads pp. 909-921: Kit Pong Wong
Interdealer trading in futures markets pp. 923-944: Peter R. Locke and Pattarake Sarajoti
Conditional OLS minimum variance hedge ratios pp. 945-964: Joëlle Miffre
The impact of time duration between trades on the price of treasury note futures contracts pp. 965-980: 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: Vicentiu Covrig, David Ding and Buen Sin Low

Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market pp. 805-834: Nick Taylor
The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT pp. 835-860: Yu Chuan Huang
Information content of extended trading for index futures pp. 861-886: 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: Raymond W. So and Yiuman Tse

Editor's Note pp. 707-707: Robert I. Webb
Information and Noise in U.K. Futures Markets pp. 711-731: Phil Holmes and Mark Tomsett
Extracting the Expected Path of Monetary Policy From Futures Rates pp. 733-754: Brian Sack
The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets pp. 755-784: 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: Alex Frino, Frederick H. deB. Harris, Thomas McInish and Michael J. Tomas

Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases pp. 609-629: Dieter Hess
Pricing credit spread options under a Markov chain model with stochastic default rate pp. 631-648: Jangkoo Kang and Hwa‐Sung Kim
A Markov regime switching approach for hedging stock indices pp. 649-674: 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: Michael Aitken, Alex Frino, Amelia M. Hill and Elvis Jarnecic
Hedging, liquidity, and the competitive firm under price uncertainty pp. 697-706: Kit Pong Wong

Anatomy of option features in convertible bonds pp. 513-532: Ka Wo Lau and Yue Kuen Kwok
The performance of event study approaches using daily commodity futures returns pp. 533-555: Andrew M. Mckenzie, Michael R. Thomsen and Bruce L. Dixon
Contract modifications and the basis behavior of live cattle futures pp. 557-590: 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: Binh Do and Robert Faff

Clustering in the futures market: Evidence from S&P 500 futures contracts pp. 413-428: 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: 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: Marc W. Simpson and Sanjay Ramchander
Do designated market makers improve liquidity in open‐outcry futures markets? pp. 479-502: Yiuman Tse and Tatyana Zabotina
A note on price futures versus revenue futures contracts pp. 503-512: Donald Lien and David Hennessy

Regime switching in the yield curve pp. 315-336: Charlotte Christiansen
The index futures markets: Is screen trading more efficient? pp. 337-357: 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: Sheng‐Syan Chen, Cheng Few Lee and Keshab Shrestha
Time variation in the tail behavior of Bund future returns pp. 387-398: Thomas Werner and Christian Upper
Regulatory changes and information competition: The case of Taiwan index futures pp. 399-412: Wen‐liang Gideon Hsieh

Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach pp. 221-250: Ilias Lekkos and Costas Milas
Switching asymmetric GARCH and options on a volatility index pp. 251-282: 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: Scott Linn and Zhen Zhu

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

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