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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 17, issue 8, 1997

Cash settlement when the underlying securities are thinly traded: A case study pp. 855-871 Downloads
Bradford Cornell
Implied volatility asymmetries in treasury bond futures options pp. 873-885 Downloads
David P. Simon
The impact of market‐specific public information on return variance in an illiquid market pp. 887-908 Downloads
Rohan Christie‐David and Timothy W. Koch
Multiple‐year pricing strategies for corn and soybeans pp. 909-934 Downloads
David E. Kenyon and Charles V. Beckman
Predicting spot exchange rates in a nonlinear estimation framework using futures prices pp. 935-956 Downloads
A. M. Parhizgari and Maria Eugenia De Boyrie
Index futures and options and stock market volatility pp. 957-974 Downloads
Andreas Pericli and Gregory Koutmos
Forwards or options: A correction pp. 975-978 Downloads
Da‐Hsiang Donald Lien

Volume 17, issue 7, 1997

Program trading, nonprogram trading, and market volatility pp. 733-756 Downloads
Kedreth C. Hogan, Kenneth F. Kroner and Jahangir Sultan
Trading volume and transaction costs in futures markets pp. 757-780 Downloads
George H. K. Wang, Jot Yau and Tony Baptiste
Using derivatives in major currencies for cross‐hedging currency risks in Asian emergency markets pp. 781-796 Downloads
Raj Aggarwal and Andrea L. Demaskey
The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets pp. 797-815 Downloads
Joseph K. W. Fung, Louis T. W. Cheng and Kam C. Chan
Out‐of‐sample hedging effectiveness of currency futures for alternative models and hedging strategies pp. 817-837 Downloads
Abe De Jong, Frans De Roon and Chris Veld
Derivatives and the price of risk pp. 839-854 Downloads
Nicolas P. B. Bollen

Volume 17, issue 6, 1997

Estimating cash settlement price: The bootstrap and other estimators pp. 617-632 Downloads
John Cita and Donald Lien
Continuously traded options on discretely traded commodity futures contracts pp. 633-666 Downloads
Robert I. Webb, Gyoichi Iwata, Koichi Fujiwara and Hiroshi Sunada
Time‐dependent barrier option values pp. 667-688 Downloads
Cho H. Hui
Short‐run deviations and volatility in spot and futures stock returns: Evidence from Australia, Hong Kong, and Japan pp. 689-705 Downloads
Taufiq Choudhry
Commitment of traders, basis behavior, and the issue of risk premia in futures markets pp. 707-731 Downloads
Arjun Chatrath, Youguo Liang and Frank Song

Volume 17, issue 5, 1997

Charting: Chaos theory in disguise? pp. 489-514 Downloads
William C. Clyde and Carol L. Osler
A comparison of futures pricing models in a new market: The case of individual share futures pp. 515-541 Downloads
T.J. Brailsford and A.J. Cusack
Metallgesellschaft: A prudent hedger ruined, or a wildcatter on NYMEX? pp. 543-578 Downloads
Stephen Craig Pirrong
Stochastic interest rates, transaction costs, and immunizing foreign currency risk pp. 579-598 Downloads
Raymond Chiang, John Okunev and Mark Tippett
Hedging efficiency: A futures exchange management approach pp. 599-615 Downloads
Joost M.E. Pennings and Matthew T.G. Meulenberg

Volume 17, issue 4, 1997

International currency relationship information revealed by cross‐option prices pp. 369-384 Downloads
Andrew F. Siegel
An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets pp. 385-416 Downloads
Roger A. Fujihara and Mbodja Mougoué
The impact of proprietary--public information on pork futures pp. 417-432 Downloads
Thomas L. Mann and Richard J. Dowen
Searching for fractal structure in agricultural futures markets pp. 433-473 Downloads
Marco Corazza, Anastasios Malliaris and Carla Nardelli
Cross hedging in currency forward markets: A note pp. 475-482 Downloads
Udo Broll
A note on the valuation of an exotic timing option pp. 483-487 Downloads
Mondher Bellalah and Jean-Luc Prigent

Volume 17, issue 3, 1997

Liquidity without volume: The case of FINEX, Dublin pp. 247-277 Downloads
Dana R. Clyman, Christopher S. Allen and Richard Jaycobs
An evaluation of price linkages between futures and cash markets for cheddar cheese pp. 279-301 Downloads
T. Randall Fortenbery and Hector O. Zapata
Marking‐to‐market and the demand for interest rate futures contracts pp. 303-316 Downloads
Abraham Lioui
Informational content in historical CTA performance pp. 317-339 Downloads
David McCarthy, Thomas Schneeweis and Richard Spurgin
Crop year influences and variability of the agricultural futures spreads pp. 341-367 Downloads
Hans R. Dutt, John Fenton, Jonathan D. Smith and George H. K. Wang

Volume 17, issue 2, 1997

A simple approach to bond option pricing pp. 131-160 Downloads
Jason Z. Wei
Fractional dynamics in international commodity prices pp. 161-189 Downloads
John Barkoulas, Walter C. Labys and Joseph Onochie
Risk premia in the ruble/dollar futures market pp. 191-214 Downloads
Anatoly Peresetsky and Frans de Roon
Put‐call parity with futures‐style margining pp. 215-227 Downloads
Stephen A. Easton
Futures market transaction costs pp. 229-245 Downloads
Peter R. Locke and P. C. Venkatesh

Volume 17, issue 1, 1997

Convenience yields as call options: An empirical analysis pp. 1-15 Downloads
Nikolaos Milonas and Stavros B. Thomadakis
Volatility, storage and convenience: Evidence from natural gas markets pp. 17-43 Downloads
Raul Susmel and Andrew Thompson
Intraday futures volatility and theories of market behavior pp. 45-74 Downloads
Robert T. Daigler
Linear dependence, nonlinear dependence and petroleum futures market efficiency pp. 75-99 Downloads
Roger A. Fujihara and Mbodja Mougoué
Hedging ratios and cash/futures market linkages pp. 101-115 Downloads
Michael Theobald and Peter Yallup
The rolling spot futures contract: An error correction model analysis pp. 117-128 Downloads
Asim Ghosh and Claire G. Gilmore

Volume 16, issue 8, 1996

Interest‐rate option pricing revisited pp. 859-863 Downloads
Craig Merrill and David Babbel
The Fed funds futures rate as a predictor of federal reserve policy pp. 865-879 Downloads
Joel T. Krueger and Kenneth Kuttner
Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons pp. 881-897 Downloads
Gordon Gemmill
Normal backwardation in short‐term interest rate futures markets pp. 899-913 Downloads
Tim Krehbiel and Roger Collier
The predictive power of implied stochastic variance from currency options pp. 915-942 Downloads
Dajiang Guo
Regulatory competition and the efficiency of alternative derivative product margining systems pp. 943-968 Downloads
Paul H. Kupiec and A. Patricia White

Volume 16, issue 7, 1996

Time‐varying risk premia in the foreign currency futures basis pp. 735-755 Downloads
Christopher Baum and John Barkoulas
Survivor bias in commodity trading advisor performance pp. 757-772 Downloads
Thomas Schneeweis, Richard Spurgin and David McCarthy
The effect of the cointegration relationship on futures hedging: A note pp. 773-780 Downloads
Da‐Hsiang Donald Lien
An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract pp. 781-808 Downloads
Scott W. Barnhart, Kandice H. Kahl and Cora Moore Barnhart
Futures prices and the maturity effect pp. 809-828 Downloads
Tina M. Galloway and Robert W. Kolb
Announcement versus nonannouncement: A study of intraday transaction price paths of Deutsche mark and Japanese yen futures pp. 829-857 Downloads
Hsiaohua Leng

Volume 16, issue 6, 1996

S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula pp. 611-629 Downloads
Charles Corrado and Tie Su
The systematic risk of futures contracts pp. 631-654 Downloads
Robert W. Kolb
Storage profitability and hedge ratio estimation pp. 655-676 Downloads
Sergio Lence, Marvin L. Hayenga and Michael D. Patterson
Market making with price limits pp. 677-696 Downloads
Gregory J. Kuserk and Peter R. Locke
The demise of the high fructose corn syrup futures contract: A case study pp. 697-724 Downloads
Sarahelen Thompson, Philip Garcia and Lynne Dallafior Wildman
Derivatives and futures bibliography pp. 725-733 Downloads
Robert T. Daigler

Volume 16, issue 5, 1996

Do managed futures make good investments? pp. 475-517 Downloads
Franklin R. Edwards and James M. Park
Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts pp. 519-543 Downloads
Craig Pirrong
Recovering probabilistic information from option markets: Tests of distributional assumptions pp. 545-560 Downloads
Bruce Sherrick, Philip Garcia and Viswanath Tirupattur
The role of futures trading activity in exchange rate volatility pp. 561-584 Downloads
Arjun Chatrath, Sanjay Ramchander and Frank Song
A note on modified lattice approaches to option pricing pp. 585-594 Downloads
Stephen A. Easton
Linkages between agricultural commodity futures contracts pp. 595-609 Downloads
Anastasios Malliaris and Jorge L. Urrutia

Volume 16, issue 4, 1996

Trading costs and the relative rates of price discovery in stock, futures, and option markets pp. 353-387 Downloads
Jeff Fleming, Barbara Ostdiek and Robert E. Whaley
Do systematic risk premiums persist in eurodollar futures prices? pp. 389-403 Downloads
Tim Krehbiel and Lee Adkins
A further investigation of the lead‐lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France pp. 405-420 Downloads
Gang Shyy, Vasumathi Vijayraghavan and Brian Scott‐Quinn
Ex ante basis risk in the live hog futures contract: Has hedgers' risk increased? pp. 421-440 Downloads
Philip Garcia and Dwight R. Sanders
Optimum futures hedges with jump risk and stochastic basis pp. 441-458 Downloads
Carolyn W. Chang, Jack S.K. Chang and Hsing Fang
Derivatives usage and interest rate risk of large banking firms pp. 459-474 Downloads
Latha Shanker

Volume 16, issue 3, 1996

Efficient option‐implied volatility estimators pp. 247-272 Downloads
Charles Corrado and Thomas W. Miller
Are hog and pig reports informative? pp. 273-287 Downloads
Thomas L. Mann and Richard J. Dowen
An empirical test of the effect of basis risk on cash market positions pp. 289-311 Downloads
Janet S. Netz
Detecting volatility changes across the oil sector pp. 313-330 Downloads
Berry Wilson, Reena Aggarwal and Carla Inclan
Mean reversion of interest‐rate term premiums and profits from trading strategies with treasury futures spreads pp. 331-352 Downloads
Tae H. Park and Lorne Switzer

Volume 16, issue 2, 1996

Macroeconomic news and the efficiency of international bond futures markets pp. 131-145 Downloads
Kent G. Becker, Joseph E. Finnerty and Kenneth J. Kopecky
Intraday return dynamics between the cash and the futures markets in Japan pp. 147-162 Downloads
Yoshio Iihara, Kiyoshi Kato and Toshifumi Tokunaga
A reexamination of portfolio insurance: The use of index put options pp. 163-188 Downloads
Yisong Tian
An optimal price index for stock index futures contracts pp. 189-199 Downloads
Jonathan Rougier
A graphical note on European put thetas pp. 201-209 Downloads
Gordon Alexander and Michael Stutzer
Simple risk measures when hedging commodities using foreign markets: A note pp. 211-217 Downloads
Frank S. Novak and Jim Unterschultz
On the conventional definition of currency hedge ratio pp. 219-226 Downloads
Da‐Hsiang Donald Lien
The value of information in the presence of futures markets pp. 227-240 Downloads
Eyal Sulganik and Itzhak Zilcha
Options bibliography pp. 241-245 Downloads
Robert T. Daigler

Volume 16, issue 1, 1996

Energy shocks and financial markets pp. 1-27 Downloads
Roger D. Huang, Ronald Masulis and Hans Stoll
The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk pp. 29-54 Downloads
John Board and Charles Sutcliffe
Temporal relationships and dynamic interactions between spot and futures stock markets pp. 55-69 Downloads
Gregory Koutmos and Michael Tucker
Put‐call parities and the value of early exercise for put options on a performance index pp. 71-80 Downloads
Frans De Roon and Chris Veld
Price volatility and futures margins pp. 81-111 Downloads
Gikas A. Hardouvelis and Dongcheol Kim
Options bibliography pp. 113-127 Downloads
Robert T. Daigler
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