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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 38, issue 12, 2018

Trader types and fleeting orders: Evidence from Taiwan Futures Exchange pp. 1443-1469 Downloads
Wei‐Yu Kuo and Ching‐Ting Lin
An efficient and stable method for short maturity Asian options pp. 1470-1486 Downloads
Rupak Chatterjee, Zhenyu Cui, Jiacheng Fan and Mingzhe Liu
Excess returns to buying low options‐volume stocks and selling high options‐volume stocks: Information or characteristics? pp. 1487-1513 Downloads
Li Cai and Jian Du
Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model pp. 1514-1532 Downloads
Donald Lien, Hsiang‐Tai Lee and Her‐Jiun Sheu
The directional information content of options volumes pp. 1533-1548 Downloads
Doojin Ryu and Heejin Yang
Asymmetric spot‐futures price adjustments in grain markets pp. 1549-1564 Downloads
Zhige Wu, Alex Maynard, Alfons Weersink and Getu Hailu

Volume 38, issue 11, 2018

Model specification and collateralized debt obligation (mis)pricing pp. 1284-1312 Downloads
Dan Luo, Dragon Yongjun Tang and Sarah Qian Wang
Equity index futures trading and stock price crash risk: Evidence from Chinese markets pp. 1313-1333 Downloads
Jinyu Liu and Rui Zhong
Jump risk and option liquidity in an incomplete market pp. 1334-1369 Downloads
PeiLin Hsieh, QinQin Zhang and Yajun Wang
Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model pp. 1370-1390 Downloads
Yu‐Sheng Lai
Multivariate constrained robust M‐regression for shaping forward curves in electricity markets pp. 1391-1406 Downloads
Peter Leoni, Pieter Segaert, Sven Serneels and Tim Verdonck
Volatility and correlation timing: The role of commodities pp. 1407-1439 Downloads
Panos Pouliasis and Nikos Papapostolou

Volume 38, issue 10, 2018

Price discovery in short‐term interest rate markets: Futures versus swaps pp. 1179-1188 Downloads
Alex Frino and Michael Garcia
From funding liquidity to market liquidity: Evidence from the index options market pp. 1189-1205 Downloads
Chunbo Liu, Cheng Zhang and Zhiping Zhou
Information about price and volatility jumps inferred from options prices pp. 1206-1226 Downloads
Stephen J. Taylor, Chi‐Feng Tzeng and Martin Widdicks
Policy impact on volatility dynamics in commodity futures markets: Evidence from China pp. 1227-1245 Downloads
Yongmin Zhang, Shusheng Ding and Eric Scheffel
Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors pp. 1246-1261 Downloads
Yang Liu, Liyan Han and Libo Yin
Price discovery in the Chinese gold market pp. 1262-1281 Downloads
Muzhao Jin, Youwei Li, Jianxin Wang and Yung Chiang Yang

Volume 38, issue 9, 2018

Pairs‐trading and spread persistence in the European stock market pp. 998-1023 Downloads
Isabel Figuerola‐Ferretti, Ioannis Paraskevopoulos and Tao Tang
Is stock return predictability of option‐implied skewness affected by the market state? pp. 1024-1042 Downloads
Tong Suk Kim and Heewoo Park
An approximation formula for normal implied volatility under general local stochastic volatility models pp. 1043-1061 Downloads
Yasaman Karami and Kenichiro Shiraya
A hybrid information approach to predict corporate credit risk pp. 1062-1078 Downloads
Di Bu, Simone Kelly, Yin Liao and Qing Zhou
What drives informed trading before public releases? Evidence from natural gas inventory announcements pp. 1079-1096 Downloads
Chen Gu and Alexander Kurov
Good jump, bad jump, and option valuation pp. 1097-1125 Downloads
Xinglin Yang
VIX futures pricing with conditional skewness pp. 1126-1151 Downloads
Xinglin Yang and Peng Wang
Modeling temperature behaviors: Application to weather derivative valuation pp. 1152-1175 Downloads
Jr‐Wei Huang, Sharon S. Yang and Chuang‐Chang Chang

Volume 38, issue 8, 2018

The effect of settlement rules on the incentive to Bang the Close pp. 841-864 Downloads
Esen Onur and David Reiffen
Market uncertainty and market orders in futures markets pp. 865-880 Downloads
Matthew C. Chang, Chih‐Ling Tsai, Rebecca Chung‐Fern Wu and Ning Zhu
Volatility jumps and macroeconomic news announcements pp. 881-897 Downloads
Kam F. Chan and Philip Gray
A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process pp. 898-924 Downloads
San‐Lin Chung and Jr‐Yan Wang
Short‐selling and credit default swap spreads—Where do informed traders trade? pp. 925-942 Downloads
Steven Lecce, Andrew Lepone, Michael D. McKenzie, Jin Boon Wong and Jin Y. Yang
Call options with concave payoffs: An application to executive stock options pp. 943-957 Downloads
Kwangil Bae, Jangkoo Kang and Hwa‐Sung Kim
Modeling VXX pp. 958-976 Downloads
Sebastian A. Gehricke and Jin E. Zhang
Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing pp. 977-995 Downloads
Hendrik Hülsbusch and Alexander Kraftschik

Volume 38, issue 7, 2018

Editor's Note pp. 757-757 Downloads
Robert I. Webb
Volatility discovery and volatility quoting on markets for options and warrants pp. 758-774 Downloads
Rainer Baule, Bart Frijns and Milena E. Tieves
Should macroeconomic information be released during trading breaks in futures markets? pp. 775-787 Downloads
Alex Frino and Michael Garcia
Return predictability and contrarian profits of international index futures pp. 788-803 Downloads
Yiuman Tse
Bank risk, financial stress, and bank derivative use pp. 804-821 Downloads
Barbara A. Bliss, Jeffrey A. Clark and Jared DeLisle
VIX futures calendar spreads pp. 822-838 Downloads
Ai Jun Hou and Lars L. Nordén

Volume 38, issue 6, 2018

Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options pp. 627-644 Downloads
Jaehyuk Choi
Are there gains from using information over the surface of implied volatilities? pp. 645-672 Downloads
Biao Guo, Qian Han and Hai Lin
Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures pp. 673-695 Downloads
Stuart Snaith, Neil M. Kellard and Norzalina Ahmad
The impact of data frequency on market efficiency tests of commodity futures prices pp. 696-714 Downloads
Xuedong Wu, Jeffrey Dorfman and Berna Karali
Analysis of the clientele effect and the information content of short†term index option returns in Taiwan pp. 715-730 Downloads
Ging†Ginq Pan, Yung†Ming Shiu and Tu†Cheng Wu
Central clearing and CDS market quality pp. 731-753 Downloads
Paulo Pereira da Silva, Carlos Vieira and Isabel Vieira

Volume 38, issue 5, 2018

Macroeconomic news announcements, systemic risk, financial market volatility, and jumps pp. 513-534 Downloads
Xin Huang
Determinants of intraday price discovery in VIX exchange traded notes pp. 535-548 Downloads
Adrian Fernandez†Perez, Bart Frijns, Ilnara Gafiatullina and Alireza Tourani†Rad
Price discovery dynamics in European agricultural markets pp. 549-562 Downloads
Philipp Adämmer and Martin T. Bohl
Asymmetric and nonlinear dynamics in sovereign credit risk markets pp. 563-585 Downloads
Geoffrey M. Ngene, Parker Benefield and Allen K. Lynch
On full calibration of hybrid local volatility and regime†switching models pp. 586-606 Downloads
Xin†Jiang He and Song†Ping Zhu
Quadratic approximation of the slow factor of volatility in a multifactor stochastic volatility model pp. 607-624 Downloads
Gifty Malhotra, R. Srivastava and H. C. Taneja

Volume 38, issue 4, 2018

Editor's Note pp. 424-424 Downloads
Robert I. Webb
A comprehensive look at the return predictability of variance risk premia pp. 425-445 Downloads
Suk Joon Byun, Bart Frijns and Tai†Yong Roh
Currency derivatives for hedging: New evidence on determinants, firm risk, and performance pp. 446-467 Downloads
Sung C. Bae, Hyeon Sook Kim and Taek Ho Kwon
Investor sentiment and the Chinese index futures market: Evidence from the internet search pp. 468-477 Downloads
Xiaolin Wang, Qiang Ye, Feng Zhao and Yi Kou
Investor attention and stock market under†reaction to earnings announcements: Evidence from the options market pp. 478-492 Downloads
Xuewu Wesley Wang, Zhipeng Yan, Qunzi Zhang and Xuechen Gao
The information content of option†implied tail risk on the future returns of the underlying asset pp. 493-510 Downloads
Yaw†Huei Wang and Kuang†Chieh Yen

Volume 38, issue 3, 2018

Structural breaks and volatility forecasting in the copper futures market pp. 290-339 Downloads
Xu Gong and Boqiang Lin
Benchmarking commodity investments pp. 340-358 Downloads
Jesse Blocher, Ricky Cooper and Marat Molyboga
The weather premium in the U.S. corn market pp. 359-372 Downloads
Ziran Li, Dermot Hayes and Keri Jacobs
Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures pp. 373-389 Downloads
Jędrzej Białkowski and Jan Koeman
Optionable Stocks and Mutual Fund Performance pp. 390-412 Downloads
Chune Young Chung, Doojin Ryu, Kainan Wang and Blerina Zykaj
The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH†MIDAS approach pp. 413-422 Downloads
Libing Fang, Baizhu Chen, Honghai Yu and Yichuo Qian

Volume 38, issue 2, 2018

An analysis on the intraday trading activity of VIX derivatives pp. 158-174 Downloads
Dian†Xuan Kao, Wei†Che Tsai, Yaw†Huei Wang and Kuang†Chieh Yen
Do investors use options and futures to trade on different types of information? Evidence from an aggregate stock index pp. 175-198 Downloads
Kyoung†Hun Bae and Peter Dixon
Forecasting using alternative measures of model†free option†implied volatility pp. 199-218 Downloads
Xingzhi Yao and Marwan Izzeldin
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model pp. 219-242 Downloads
Sepideh Dolatabadi, Paresh Kumar Narayan, Morten Ørregaard Nielsen and Ke Xu
Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market pp. 243-270 Downloads
Yue Zhao and Difang Wan
Options†based benchmark indices—A review of performance and (in)appropriate measures pp. 271-288 Downloads
Markus Natter

Volume 38, issue 1, 2018

Need for speed: Hard information processing in a high†frequency world pp. 3-21 Downloads
S. Sarah Zhang
Time is money: An empirical investigation of delivery behavior in the U.S. T†Bond futures market pp. 22-37 Downloads
Michèle Breton and Ramzi Ben†Abdallah
The impact of crude oil inventory announcements on prices: Evidence from derivatives markets pp. 38-65 Downloads
Hong Miao, Sanjay Ramchander, Tianyang Wang and Jian Yang
Are single stock futures used as an alternative during a short†selling ban? pp. 66-82 Downloads
Bouchra Benzennou, Owain ap Gwilym and Gwion Williams
Density forecast comparisons for stock prices, obtained from high†frequency returns and daily option prices pp. 83-103 Downloads
Rui Fan, Stephen J. Taylor and Matteo Sandri
Catastrophe futures and reinsurance contracts: An incomplete markets approach pp. 104-128 Downloads
Stylianos Perrakis and Ali Boloorforoosh
Price discovery in dual†class shares across multiple markets pp. 129-155 Downloads
Marcelo Fernandes and Cristina M. Scherrer
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