Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 42, issue 12, 2022

A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model pp. 2103-2134

Tian‐Shyr Dai, Chen‐Chiang Fan, Liang‐Chih Liu, Chuan‐Ju Wang and Jr‐Yan Wang

Forecasting variance swap payoffs pp. 2135-2164

Jonathan Dark, Xin Gao, Thijs van der Heijden and Federico Nardari

Forecasting realized volatility: New evidence from time‐varying jumps in VIX pp. 2165-2189

Anupam Dutta and Debojyoti Das

Bitcoin futures risk premia pp. 2190-2217

Shimeng Shi

Understanding intraday momentum strategies pp. 2218-2234

Carlo Rosa

Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets pp. 2235-2247

Liwei Jin, Xianghui Yuan, Shihao Wang, Peiran Li and Feng Lian

Piecewise linear boundary crossing probabilities, barrier options, and variable annuities pp. 2248-2272

Hangsuck Lee, Hongjun Ha and Minha Lee

Volume 42, issue 11, 2022

Petroleum market volatility tracker in China pp. 2022-2040

Huabin Bian, Renhai Hua, Qingfu Liu and Ping Zhang

The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets pp. 2041-2052

Yongmin Zhang, Shusheng Ding and Haili Shi

Reporting delays and the information content of off‐market trades pp. 2053-2067

Alex Frino, Luca Galati and Dionigi Gerace

Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets pp. 2068-2083

Yang Liu, Tongshuai Qiao and Liyan Han

Analyst rating matters for index futures pp. 2084-2100

Liyan Han, Xinbei Wei, Sen Yan and Qunzi Zhang

Volume 42, issue 10, 2022

Margin requirements based on a stochastic correlation model pp. 1797-1820

Dávid Zoltán Szabó and Kata Váradi

Option pricing with maximum entropy densities: The inclusion of higher‐order moments pp. 1821-1836

Omid Ardakani

Algorithmic trading and market quality: Evidence from the Taiwan index futures market pp. 1837-1855

Ya‐Kai Chang and Robin K. Chou

Pricing callable–puttable convertible bonds with an integral equation approach pp. 1856-1911

Sha Lin and Song‐Ping Zhu

Venturing into uncharted territory: An extensible implied volatility surface model pp. 1912-1940

Pascal François, Rémi Galarneau‐Vincent, Geneviève Gauthier and Frédéric Godin

Hedging commodities in times of distress: The case of COVID‐19 pp. 1941-1959

Luiz Augusto Magalhaes, Thiago Silva and Benjamin Tabak

Time‐varying pure contagion effect between energy and nonenergy commodity markets pp. 1960-1986

Xu Gong, Yujing Jin and Chuanwang Sun

The role of textual analysis in oil futures price forecasting based on machine learning approach pp. 1987-2017

Xu Gong, Keqin Guan and Qiyang Chen

Volume 42, issue 9, 2022

Do VIX futures contribute to the valuation of VIX options? pp. 1644-1664

Chen Tong, Zhuo Huang and Tianyi Wang

Dynamics in the VIX complex pp. 1665-1687

Anders Merrild Posselt

Financially constrained index futures arbitrage pp. 1688-1703

Kristoffer Glover and Hardy Hulley

Volatility model applications in China's SSE50 options market pp. 1704-1720

Yeguang Chi, Wenyan Hao and Yifei Zhang

The information content of the volatility index options trading volume pp. 1721-1737

Chen Gu, Xu Guo, Alexander Kurov and Raluca Stan

A systemic change of measure from central clearing pp. 1738-1754

Injun Hwang and Baeho Kim

Are option traders more informed than Twitter users? A PVAR analysis pp. 1755-1771

Alex Frino, Caihong Xu and Z. Ivy Zhou

Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives? pp. 1772-1793

Xuejun Jin, Jingyu Zhao and Xingguo Luo

Volume 42, issue 8, 2022

Option pricing with state‐dependent pricing kernel pp. 1409-1433

Chen Tong, Peter Hansen and Zhuo Huang

The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets pp. 1434-1465

Jing Nie, Juliana Malagon and Julian Williams

Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power? pp. 1466-1490

William J. Procasky and Anwen Yin

Beta and size equity premia following a high‐VIX threshold pp. 1491-1517

Naresh Bansal, Robert Connolly and Chris Stivers

Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX pp. 1518-1548

Gongyue Jiang, Gaoxiu Qiao, Feng Ma and Lu Wang

The information effect of order flows in foreign currency futures and spot markets pp. 1549-1572

Yu‐Lun Chen and Yin‐Feng Gau

Exploring the dynamics of the equity–commodity nexus: A study of base metal futures pp. 1573-1596

Ipsita Saishree and Puja Padhi

Analyzing interactive call, default, and conversion policies for corporate bonds pp. 1597-1638

Liang‐Chih Liu, Tian‐Shyr Dai, Lei Zhou and Hao‐Han Chang

Volume 42, issue 7, 2022

Intraday liquidity in soybean complex futures markets pp. 1189-1211

Thomas A. P. de Boer, Cornelis Gardebroek, Joost M. E. Pennings and Andres Trujillo‐Barrera

Hedging pressure and liquidity provision in commodity options markets pp. 1212-1233

Tianyang Zhang

Recovering subjective probability distributions pp. 1234-1263

Akira Yamazaki

Overnight volatility, realized volatility, and option pricing pp. 1264-1283

Tianyi Wang, Sicong Cheng, Fangsheng Yin and Mei Yu

Pricing cancellable American put options on the finite time horizon pp. 1284-1303

Tsvetelin S. Zaevski

Trading behavior in bitcoin futures: Following the “smart money” pp. 1304-1323

Dirk G. Baur and Lee Smales

How do firms hedge in financial distress? pp. 1324-1351

Evan Dudley, Niclas Andrén and Håkan Jankensgård

Price discovery in the CSI 300 Index derivatives markets pp. 1352-1368

Liwei Jin, Xianghui Yuan, Jun Long, Xiang Li and Feng Lian

Power‐type derivatives for rough volatility with jumps pp. 1369-1406

Liang Wang and Weixuan Xia

Volume 42, issue 6, 2022

Approximate pricing of American exchange options with jumps pp. 983-1001

Guanghua Lian, Robert J. Elliott, Petko Kalev and Zhaojun Yang

VIX option‐implied volatility slope and VIX futures returns pp. 1002-1038

Jungah Yoon, Xinfeng Ruan and Jin E. Zhang

GARCH pricing and hedging of VIX options pp. 1039-1066

Qiang Liu, Yuhan Jiao and Shuxin Guo

Resale options and heterogeneous beliefs pp. 1067-1083

Kai‐Min Huang, I‐Doun Kuo and Rong‐Tsorng Wang

Nonlinear limits to arbitrage pp. 1084-1113

Jingzhi Chen, Charlie X. Cai, Robert Faff and Yongcheol Shin

Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns pp. 1114-1134

Yun‐Huan Lee, Tzu‐Hsiang Liao and Hsiu‐Chuan Lee

The information in global interest rate futures contracts pp. 1135-1166

Robert Brooks, Brandon N. Cline, Pavel Teterin and Yu You

Does offshore NDF market influence onshore forex market? Evidence from India pp. 1167-1185

Harendra Behera, Rajiv Ranjan and Sajjid Chinoy

Volume 42, issue 5, 2022

Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation pp. 790-802

Craig Pirrong

A trend factor in commodity futures markets: Any economic gains from using information over investment horizons? pp. 803-822

Yufeng Han and Lingfei Kong

Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges pp. 823-851

Ekaterina E. Emm, Gerald D. Gay, Han Ma and Honglin Ren

Pricing vulnerable options under correlated skew Brownian motions pp. 852-867

Che Guo and Xingchun Wang

Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets pp. 868-887

Geert Dhaene, Piet Sercu and Jianbin Wu

Pricing VXX options by modeling VIX directly pp. 888-922

Wei Lin and Jin E. Zhang

Investment horizon and option market activity pp. 923-958

Da‐Hea Kim

A Black–Scholes user's guide to the Bachelier model pp. 959-980

Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee and Yumeng Wang

Volume 42, issue 4, 2022

Robust information share measures with an application on the international crude oil markets pp. 555-579

Hong Li and Yanlin Shi

Information contents of intraday SSE 50 ETF options trades pp. 580-604

Xingguo Luo, Wenye Cai and Doojin Ryu

Information and the arrival rate of option trading volume pp. 605-644

Mengyu Zhang, Thanos Verousis and Iordanis Kalaitzoglou

Multistep forecast of the implied volatility surface using deep learning pp. 645-667

Nikita Medvedev and Zhiguang Wang

Option‐implied moments and the cross‐section of stock returns pp. 668-691

Lykourgos Alexiou and Leonidas Rompolis

Multi‐step reflection principle and barrier options pp. 692-721

Hangsuck Lee, Gaeun Lee and Seongjoo Song

Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach pp. 722-750

Lei Ming, Yao Shen, Shenggang Yang and Minyi Dong

Risk‐neutral skewness and commodity futures pricing pp. 751-785

Ana-Maria Fuertes, Zhenya Liu and Weiqing Tang

Volume 42, issue 3, 2022

Can a rational expectation storage model explain the USDA ending grain stocks forecast errors? pp. 313-337

Tianyang Zhang and Ziran Li

Who and what drives informed options trading after the market opens? pp. 338-364

Jongho Kang, Jangkoo Kang and Jaeram Lee

Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach pp. 365-388

Pakorn Aschakulporn and Jin E. Zhang

A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio pp. 389-412

Hsiang‐Tai Lee

US experience with futures transaction taxes pp. 413-427

Scott Mixon

The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread pp. 428-445

Ziran Li and Dermot Hayes

The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach pp. 446-471

Gregor Helmut Schoenemann

Do oil shocks impact stock liquidity? pp. 472-491

Qin Zhang and Jin Boon Wong

Arbitrage, contract design, and market structure in Bitcoin futures markets pp. 492-524

Riccardo De Blasis and Alexander Webb

A Skellam market model for loan prime rate options pp. 525-551

Zhanyu Chen, Kai Zhang and Hongbiao Zhao

Volume 42, issue 2, 2022

Editor's note pp. 191-191

Robert I. Webb

One session options: Playing the announcement lottery? pp. 192-211

Lee Smales, Zhangxin (Frank) Liu and Cameron D. Robertson

Speculation or hedging?—Options trading prior to FOMC announcements pp. 212-230

George J. Jiang and Guanzhong Pan

Lottery and bubble stocks and the cross‐section of option‐implied tail risks pp. 231-249

Sobhesh Kumar Agarwalla, Sumit Saurav and Jayanth Varma

Market uncertainty and sentiment around USDA announcements pp. 250-275

An N. Q. Cao and Michel Robe

Warrants in the financial management decisions of innovative firms pp. 276-295

Hyuna Park

Connectivity costs and price efficiency: An event study pp. 296-309

Alex Frino, Ognjen Kovacevic, Vito Mollica and Robert I. Webb

Volume 42, issue 1, 2022

Editor's Note pp. 3-3

Bart Frijns

Editor's Note pp. 4-4

Robert I. Webb

Resiliency in the E‐mini futures market pp. 5-23

Raymond P. H. Fishe, Richard Haynes and Esen Onur

Do enhanced derivative disclosures work? An informational perspective pp. 24-60

Guanming He, Helen Mengbing Ren and Richard Taffler

Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity pp. 61-76

Doojin Ryu and Jinyoung Yu

Revisiting the valuation of deposit insurance pp. 77-103

Chuang‐Chang Chang, San‐Lin Chung, Ruey‐Jenn Ho and Yu‐Jen Hsiao

Use of high‐frequency data to evaluate the performance of dynamic hedging strategies pp. 104-124

Yu‐Sheng Lai

Piecewise linear double barrier options pp. 125-151

Hangsuck Lee, Hongjun Ha and Minha Lee

Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems pp. 152-171

Ana M. Monteiro and António A. F. Santos

Market inefficiencies surrounding energy announcements pp. 172-188

Sultan Alturki and Alexander Kurov