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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 19, issue 8, 1999

Hedging with mismatched currencies pp. 859-875 Downloads
Udo Broll and Kit Pong Wong
Contemporary and long‐run correlations: A covariance component model and studies on the S&P 500 cash and futures markets pp. 877-894 Downloads
Gary G. J. Lee
Volatility and maturity effects in the Nikkei index futures pp. 895-909 Downloads
Yen‐Ju Chen, Jin‐Chuan Duan and Mao‐Wei Hung
Price discovery and volatility spillovers in the DJIA index and futures markets pp. 911-930 Downloads
Yiuman Tse
Risk arbitrage opportunities in petroleum futures spreads pp. 931-955 Downloads
Paul Berhanu Girma and Albert S. Paulson
Hedging performance of shrimp futures contracts with multiple deliverable grades pp. 957-990 Downloads
Josué Martínez‐Garmendia and James Anderson

Volume 19, issue 7, 1999

Pricing and hedging S&P 500 index options with Hermite polynomial approximation: empirical tests of Madan and Milne's model pp. 735-758 Downloads
Thierry Ané
Managed futures, positive feedback trading, and futures price volatility pp. 759-776 Downloads
Scott Irwin and Satoko Yoshimaru
An empirical comparison of continuous time models of the short term interest rate pp. 777-797 Downloads
Turan G. Bali
Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions pp. 799-815 Downloads
Aaron H. W. Low, Jayaram Muthuswamy and Robert I. Webb
A flexible binomial option pricing model pp. 817-843 Downloads
Yisong “Sam” Tian
A note on pricing Asian derivatives with continuous geometric averaging pp. 845-858 Downloads
John E. Angus

Volume 19, issue 6, 1999

Price discovery in the German equity index derivatives markets pp. 619-643 Downloads
G. Geoffrey Booth, Raymond W. So and Yiuman Tse
Valuation of futures and commodity options with information costs pp. 645-664 Downloads
Mondher Bellalah
Foreign exchange futures volatility: Day‐of‐the‐week, intraday, and maturity patterns in the presence of macroeconomic announcements pp. 665-693 Downloads
Li‐Ming Han, John L. Kling and Clifford W. Sell
Mispricing of index futures contracts and short sales constraints pp. 695-715 Downloads
Joseph K. W. Fung and Paul Draper
Harvest contract price volatility for cotton pp. 717-733 Downloads
Darren Hudson and Keith Coble

Volume 19, issue 5, 1999

Do S&P 500 index options violate the martingale restriction? pp. 499-521 Downloads
Norman Strong and Xinzhong Xu
Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets pp. 523-540 Downloads
Ah‐Boon Sim and Ralf Zurbreugg
A comprehensive examination of the compass rose pattern in futures markets pp. 541-564 Downloads
Chun I. Lee, Kimberly C. Gleason and Ike Mathur
Is the Australian wool futures market efficient as a predictor of spot prices? pp. 565-582 Downloads
Jeremy Graham‐Higgs, Alicia Rambaldi and Brian Davidson
VaR without correlations for portfolios of derivative securities pp. 583-602 Downloads
Giovanni Barone‐Adesi, Kostas Giannopoulos and Les Vosper
A reappraisal of the forecasting performance of corn and soybean new crop futures pp. 603-618 Downloads
Carl R. Zulauf, Scott Irwin, Jason E. Ropp and Anthony J. Sberna

Volume 19, issue 4, 1999

Managed commodity funds pp. 377-411 Downloads
Franklin R. Edwards and Jimmy Liew
The relative efficiency of commodity futures markets pp. 413-432 Downloads
Neil Kellard, Paul Newbold, Tony Rayner and Christine Ennew
Margin requirements and futures activity: Evidence from the soybean and corn markets pp. 433-455 Downloads
Bahram Adrangi and Arjun Chatrath
Fractional cointegration and futures hedging pp. 457-474 Downloads
Donald Lien and Yiu Kuen Tse
Trading costs and price discovery across stock index futures and cash markets pp. 475-498 Downloads
Minho Kim, Andrew C. Szakmary and Thomas V. Schwarz

Volume 19, issue 3, 1999

The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence pp. 245-270 Downloads
Kyriacos Kyriacou and Lucio Sarno
The soybean crush spread: Empirical evidence and trading strategies pp. 271-289 Downloads
David P. Simon
Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison pp. 291-306 Downloads
Roswell E. Mathis and Gerald O. Bierwag
The determinants of bid‐ask spreads in the foreign exchange futures market: A microstructure analysis pp. 307-324 Downloads
David K. Ding
Modeling nonlinear dynamics of daily futures price changes pp. 325-351 Downloads
Andre H. Gao and George H. K. Wang
The forward pricing function of the shipping freight futures market pp. 353-376 Downloads
Manolis Kavussanos and Nikos K. Nomikos

Volume 19, issue 2, 1999

Optimal margin level in futures markets: Extreme price movements pp. 127-152 Downloads
François M. Longin
A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures pp. 153-174 Downloads
Gerald D. Gay and Dae Y. Jung
The relationship between spot and futures prices: Evidence from the crude oil market pp. 175-193 Downloads
Param Silvapulle and Imad A. Moosa
Mid‐day volatility spikes in U.S. futures markets pp. 195-216 Downloads
Diane Scott Docking, Ira G. Kawaller and Paul D. Koch
A further investigation of the lead–lag relationship between the spot market and stock index futures: Early evidence from Korea pp. 217-232 Downloads
Jae H. Min and Mohammad Najand
A Note: The CSCE cheddar cheese cash and futures price long‐term equilibrium relationship revisited pp. 233-244 Downloads
Cameron S. Thraen

Volume 19, issue 1, 1999

An empirical examination of the SIMEX Nikkei 225 futures contract around the Kobé earthquake and the Barings Bank collapse pp. 1-29 Downloads
David M. Walsh and Jinwei Quek
Market microstructure of FT‐SE 100 index futures: An intraday empirical analysis pp. 31-58 Downloads
Yiuman Tse
Efficiency tests in the Spanish futures markets pp. 59-77 Downloads
Chun I. Lee and Ike Mathur
Detecting and modeling changing volatility in the copper futures market pp. 79-100 Downloads
Kevin Bracker and Kenneth L. Smith
A note on estimating the minimum extended Gini hedge ratio pp. 101-113 Downloads
Donald Lien and David R. Shaffer
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment pp. 115-120 Downloads
Carl A. Batlin
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Reply pp. 121-125 Downloads
Dilip K. Ghosh

Volume 18, issue 8, 1998

Regime switching and cointegration tests of the efficiency of futures markets pp. 871-901 Downloads
Ying‐Foon Chow
Short selling, unwinding, and mispricing pp. 903-923 Downloads
Alexander Kempf
Dynamic hedging of paper with T bill futures pp. 925-938 Downloads
Gregory Koutmos and Andreas Pericli
Noninformative and informative tests of efficiency in three energy futures markets pp. 939-964 Downloads
Emilio Peroni and Robert McNown
Commodity futures trading performance using neural network models versus ARIMA models pp. 965-983 Downloads
Chrispin Ntungo and Milton Boyd
Returns and volatility in the Kuala Lumpur crude pp. 985-999 Downloads
Keng Yap Liew and Robert Brooks

Volume 18, issue 7, 1998

The profitability of index futures arbitrage: Evidence from bid‐ask quotes pp. 743-763 Downloads
Kee‐Hong Bae, Kalok Chan and Yan‐Leung Cheung
An analysis of the profiles and motivations of habitual commodity speculators pp. 765-801 Downloads
W. Bruce Canoles, Sarahelen Thompson, Scott Irwin and Virginia Grace France
Asymmetric information in commodity futures markets: Theory and empirical evidence pp. 803-825 Downloads
Stylianos Perrakis and Nabil Khoury
The exchange rate crisis of September 1992 and the pricing of Italian financial futures pp. 827-849 Downloads
Giulio Cifarelli
Are regression approach futures hedge ratios stationary? pp. 851-866 Downloads
Robert Ferguson and Dean Leistikow
A note on a risk‐return measure of hedging effectiveness pp. 867-870 Downloads
Sudhakar Satyanarayan

Volume 18, issue 6, 1998

Stochastic volatility functions implicit in Eurodollar futures options pp. 605-627 Downloads
Karen Bhanot
Stochastic dominance arguments and the bounding of the generalized concave option price pp. 629-670 Downloads
Claude Henin and Nathalie Pistre
Assessing inefficiency in the futures markets pp. 671-704 Downloads
E.A. Olszewski
Hedging time‐varying downside risk pp. 705-722 Downloads
Donald Lien and Yiu Kuen Tse
Design, pricing, and returns of short‐term hog marketing window contracts pp. 723-742 Downloads
Jim Unterschultz, Frank Novak, Donald Bresee and Stephen Koontz

Volume 18, issue 5, 1998

Spread options, exchange options, and arithmetic Brownian motion pp. 487-517 Downloads
Geoffrey Poitras
Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market pp. 519-540 Downloads
Abhay Abhyankar
Effectiveness of dual hedging with price and yield futures pp. 541-561 Downloads
Dong‐Feng Li and Tomislav Vukina
Is after‐hours trading informative? pp. 563-579 Downloads
Carlos A. Ulibarri
Seasonality in petroleum futures spreads pp. 581-598 Downloads
Paul Berhanu Girma and Albert S. Paulson
How to finance your investment opportunity internally: A note pp. 599-604 Downloads
Enrico Pennings

Volume 18, issue 4, 1998

An empirical test of the Hull‐White option pricing model pp. 363-378 Downloads
Charles Corrado and Tie Su
A bivariate generalized autoregressive conditional heteroscedasticity‐in‐mean study of the relationship between return variability and trading volume in international futures markets pp. 379-397 Downloads
Michael Jacobs and Joseph Onochie
Return‐volume dynamics in futures markets pp. 399-426 Downloads
Ahmet E. Kocagil and Yochanan Shachmurove
The emergence of a futures market: Mungbeans on the China Zhengzhou Commodity Exchange pp. 427-448 Downloads
Jeffrey Williams, Anne Peck, Albert Park and Scott Rozelle
Hedging hard red winter wheat: Kansas City versus Chicago pp. 449-466 Downloads
B Brorsen, Darren W. Buck and Stephen R. Koontz
The bid‐ask spread on stock index options: An ordered probit analysis pp. 467-485 Downloads
Owain ap Gwilym, Andrew Clare and Stephen Thomas

Volume 18, issue 3, 1998

Price limits, overreaction, and price resolution in futures markets pp. 243-263 Downloads
Haiwei Chen
The influence of daily price limits on trading in Nikkei futures pp. 265-279 Downloads
Henk Berkman and Onno W. Steenbeek
Liquidity without volume. II. Using block orders to measure market resiliency pp. 281-296 Downloads
Dana R. Clyman and Richard Jaycobs
An examination of the relationship between stock index cash and futures markets: A cointegration approach pp. 297-305 Downloads
Michael A. Pizzi, Andrew J. Economopoulos and Heather M. O'Neill
The impact of warrant introductions on the underlying stocks, with a comparison to stock options pp. 307-328 Downloads
Per Alkebäck and Niclas Hagelin
The mispricing of callable U.S. treasury bonds: A note pp. 329-342 Downloads
Peter Carayannopoulos
Concentrated trading in the foreign exchange futures markets: Discretionary liquidity trading or market closure? pp. 343-362 Downloads
Michael F. Ferguson, Steven Mann and Leonard J. Schneck

Volume 18, issue 2, 1998

International linkages in Euromark futures markets: Information transmission and market integration pp. 129-149 Downloads
Yiuman Tse
The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news pp. 151-166 Downloads
Antonios Antoniou, Phil Holmes and Richard Priestley
Valuation of a European futures option in the BIFFEX market pp. 167-175 Downloads
Jostein Tvedt
A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract pp. 177-200 Downloads
Richard Heaney
Information and volatility in futures and spot markets: The Case of the Japanese yen pp. 201-223 Downloads
Arjun Chatrath and Frank Song
Options trading when the underlying market is not transparent pp. 225-242 Downloads
John Board and Charles Sutcliffe

Volume 18, issue 1, 1998

Extracting market views from the price of options on futures pp. 1-34 Downloads
Gregory M. Martinez
The mispricing of callable U.S. treasury bonds: A closer look pp. 35-51 Downloads
Bradford Jordan, Susan D. Jordan and David R. Kuipers
Volume and price relationships: Hypotheses and testing for agricultural futures pp. 53-72 Downloads
Anastasios Malliaris and Jorge L. Urrutia
Conditional information: When are pork belly cold storage reports informative? pp. 73-89 Downloads
Thomas L. Mann and Richard Dowen
Volume relationships among types of traders in the financial futures markets pp. 91-113 Downloads
Marilyn K. Wiley and Robert T. Daigler
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates pp. 115-127 Downloads
Dilip K. Ghosh
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