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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 15, issue 8, 1995

The mispricing of U.S. treasury callable bonds pp. 861-879 Downloads
Peter Carayannopoulos
Option initiation and underlying market behavior: Evidence from Norway pp. 881-899 Downloads
Øystein Gjerde and Frode Sættem
Conditional heteroskedasticity, asymmetry, and option pricing pp. 901-928 Downloads
Taehoon Kang and B Brorsen
Volume‐volatility relationships for crude oil futures markets pp. 929-951 Downloads
Andrew J. Foster
Forecasting futures trading volume using neural networks pp. 953-970 Downloads
Iebeling Kaastra and Milton S. Boyd

Volume 15, issue 7, 1995

New trading practices and short‐run market efficiency pp. 731-765 Downloads
Kenneth A. Froot and André F. Perold
Hedging short‐term interest risk under time‐varying distributions pp. 767-783 Downloads
Louis Gagnon and Greg Lypny
Does options trading lead to greater cash market volatility? pp. 785-803 Downloads
Arjun Chatrath, Sanjay Ramchander and Frank Song
Distortion‐free futures price series pp. 805-831 Downloads
Charles G. Geiss
Dax index futures: Mispricing and arbitrage in German markets pp. 833-859 Downloads
Wolfgang Bühler and Alexander Kempf

Volume 15, issue 6, 1995

Finnish turn‐of‐the‐month effects: Returns, volume, and implied volatiliy pp. 605-615 Downloads
Teppo Martikainen, Jukka Perttunen and Vesa Puttonen
Mean‐Gini hedging in futures markets pp. 617-635 Downloads
Haim Shalit
Do futures prices for commodities embody risk premiums? pp. 637-648 Downloads
Richard Deaves and Itzhak Krinsky
A trading simulation test for weak‐form efficiency in live cattle futures pp. 649-675 Downloads
Terry L. Kastens and Ted Schroeder
Volatility, volume, and the notion of balance in the S&P 500 cash and futures markets pp. 677-689 Downloads
Sharon Brown‐Hruska and Gregory Kuserk
Hedge performance of SPX index options and S&P 500 futures pp. 691-717 Downloads
Bruce A. Benet and Carl F. Luft
Futures bibliography pp. 719-730 Downloads
Robert T. Daigler

Volume 15, issue 5, 1995

A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length pp. 507-536 Downloads
John M. Geppert
Has futures trading activity caused stock price volatility? pp. 537-557 Downloads
Ali F. Darrat and Shafiqur Rahman
Solving for optimal futures and options positions using a simulation‐optimization technique pp. 559-571 Downloads
Li‐Fen Lei, Donald Liu and Arne Hallam
Long memory in interest rate futures markets: A fractional cointegration analysis pp. 573-584 Downloads
G. Geoffrey Booth and Yiuman Tse
The failure of the mortgage‐backed futures contract pp. 585-603 Downloads
Frank E. Nothaft, Vassilis Lekkas and George H. K. Wang

Volume 15, issue 4, 1995

Implications of trader mix to price discovery and market effectiveness in live cattle futures pp. 373-394 Downloads
Won‐Cheol Yun, Wayne Purcell, Anya McGuirk and David Kenyon
Intraday volatility in interest rate and foreign exchange spot and futures markets pp. 395-421 Downloads
Susan J. Craln and Jae Ha Lee
Index arbitrage as cross‐sectional market making pp. 423-455 Downloads
Craig W. Holden
Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets pp. 457-488 Downloads
Abhay H. Abhyankar
Price movements and price discovery in the municipal bond index and the index futures markets pp. 489-506 Downloads
Mao‐Wei Hung and Hua Zhang

Volume 15, issue 3, 1995

The collapse of Metallgesellschaft: Unhedgeable risks, poor hedging strategy, or just bad luck? pp. 211-264 Downloads
Franklin R. Edwards and Michael S. Canter
Predicting stock market volatility: A new measure pp. 265-302 Downloads
Jeff Fleming, Barbara Ostdiek and Robert E. Whaley
Some easy‐to‐implement methods of calculating American futures option prices pp. 303-344 Downloads
M. M. Chaudhury
A two‐factor, preference‐free model for interest rate sensitive claims pp. 345-372 Downloads
Ren‐Raw Chen

Volume 15, issue 2, 1995

Import and hedging uncertainty in international trade pp. 101-110 Downloads
Avner Wolf
The welfare costs of Arkansas Best: The inefficiency of asymmetric taxation of hedging gains and losses pp. 111-129 Downloads
Craig Pirrong
Conditional dynamics and optimal spreading in the precious metals futures markets pp. 131-166 Downloads
Mahmoud Wahab
The effectiveness of arbitrage and speculation in the crude oil futures market pp. 167-186 Downloads
Imad A. Moosa and Nabeel E. Al‐Loughani
Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market pp. 187-200 Downloads
Tae H. Park and Lorne Switzer
Futures bibliography pp. 201-209 Downloads
Robert T. Daigler

Volume 15, issue 1, 1995

Exporting and hedging decisions with a foward currency market: The multiperiod case pp. 1-11 Downloads
Guillermo Donoso
Mixed manipulation strategies in commodity futures markets pp. 13-38 Downloads
Stephen Craig Pirrong
A risk‐return measure of hedging effectiveness: A simplification pp. 39-44 Downloads
Cheng‐Kun Kuo and Keng‐Wang Chen
Price limits as an explanation of thin‐tailedness in pork bellies futures prices pp. 45-59 Downloads
Seung‐Ryong Yang and B Brorsen
Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note pp. 61-67 Downloads
Tae H. Park and Lorne Switzer
Analysis of spreads in agricultural futures pp. 69-86 Downloads
W. Brian Barrett and Robert W. Kolb
Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB pp. 87-99 Downloads
Gang Shyy and Jie‐Haun Lee

Volume 14, issue 8, 1994

Price equilibrium and transmission in a controlled economy: A case study of the metal exchange in China pp. 877-890 Downloads
Gang Shyy and Bob Butcher
Forwards or options? Nesting procedures for “fire and forget” commodity hedging pp. 891-913 Downloads
Roger J. Bowden
Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987 pp. 915-925 Downloads
Bala Arshanapalli and John Doukas
Multiperiod hedging in the presence of conditional heteroskedasticity pp. 927-955 Downloads
Donald Lien and Xiangdong Luo
On the arbitrage‐free pricing relationship between index futures and index options: A note pp. 957-962 Downloads
Joseph K. W. Fung and Kam C. Chan

Volume 14, issue 7, 1994

Systematic risk and returns to stock index futures contracts: International evidence pp. 773-787 Downloads
Antonios Antoniou and Phil Holmes
The performance of S&P 500 futures product margins under the SPAN margining system pp. 789-811 Downloads
Paul H. Kupiec
Futures pricing and the cost of carry under price limits pp. 813-836 Downloads
Don M. Chance
An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market pp. 837-859 Downloads
George H. K. Wang, Raphael J. Michalski, James V. Jordan and Eugene J. Moriarty
The forecasting performance of livestock futures prices: A comparison to USDA expert predictions pp. 861-875 Downloads
Scott Irwin, Mary E. Gerlow and Te‐Ru Liu

Volume 14, issue 6, 1994

(Micro) fads in asset prices: Evidence from the futures market pp. 637-659 Downloads
Gerald D. Gay, Jayant R. Kale, Robert W. Kolb and Thomas H. Noe
Should actively traded futures contracts come under the dual‐trading ban? pp. 661-684 Downloads
Sugato Chakravarty
A new measure to compare the hedging effectiveness of foreign currency futures versus options pp. 685-707 Downloads
Chin‐Wen Hsln, Jerry Kuo and Cheng‐Few Lee
The gold‐silver spread: Integration, cointegration, predictability, and ex‐ante arbitrage pp. 709-756 Downloads
Mahmoud Wahab, Richard Cohn and Malek Lashgari
Further evidence on parity relationships in options on S&P 500 index futures pp. 757-771 Downloads
Patrick H. Marchand, James T. Lindley and Richard A. Followill

Volume 14, issue 5, 1994

A time series test of calendar seasonalities in the S&P 500 index since the introduction of index derivative securities pp. 511-529 Downloads
Don Cyr and Tanya Llewellyn
Interest rate futures: Evidence on forecast power, expected premiums, and the unbiased expectations hypothesis pp. 531-543 Downloads
Tim Krehbiel and Lee Adkins
Multiple delivery points, pricing dynamics, and hedging effectiveness in futures markets for spatial commodities pp. 545-573 Downloads
Stephen Craig Pirrong, Roger Kormendi and Philip Meguire
The pricing of municipal bond index futures pp. 575-596 Downloads
Thomas R. Hamilton, Scott Hein and Timothy W. Koch
A nonstationary trinomial model for the valuation of options on treasury bond futures contracts pp. 597-617 Downloads
Ehud I. Ronn and Robert R. Bliss
Nonconstant optimal hedge ratio estimation and nested hypotheses tests pp. 619-635 Downloads
Kevin P. McNew and Paul Fackler

Volume 14, issue 4, 1994

Trade deficit announcements and exchange rate volatility: Evidence from the spot and futures markets pp. 379-404 Downloads
Jahangir Sultan
Examining the dependency in intra‐day stock index futures pp. 405-419 Downloads
Hung‐Gay Fung, Wai‐Chung Lo and John E. Peterson
Competing derivative equity instruments: Empirical evidence on hedged portfolio performance pp. 421-436 Downloads
G. D. Hancock and P. D. Weise
Estimating the effective BID/ASK spread from time and sales data pp. 437-455 Downloads
Tom Smith and Robert E. Whaley
A time series approach to testing for market linkage: Unit root and cointegration tests pp. 457-474 Downloads
George H. K. Wang and Jot Yau
The informational content of USDA crop reports: Impacts on uncertainty and expectations in grain futures markets pp. 475-492 Downloads
Kevin P. McNew and Juan Andres Espinosa
The effect of CME rule 552 on dual traders pp. 493-510 Downloads
Eric C. Chang, Peter R. Locke and Steven Mann

Volume 14, issue 3, 1994

Forecasting the nearby basis of live cattle pp. 259-273 Downloads
Shi‐Miin Liu, B Brorsen, Charles M. Oellermann and Apul L. Farris
Triple‐witching hour, the change in expiration timing, and stock market reaction pp. 275-292 Downloads
Chao Chen and James Williams
Using intraday data to test for effects of index futures on the underlying stock markets pp. 293-322 Downloads
Hong Chol and Avanidhar Subrahmanyam
Assessing the intraday relationship between implied and historical volatility pp. 323-346 Downloads
Ira G. Kawaller, Paul D. Koch and John E. Peterson
Cash settlement as an alternative settlement mechanism for the live hog futures contract pp. 347-361 Downloads
Kevin L. Kimle and Marvin L. Hayenga
Comparative pricing of American and European index options: An empirical analysis pp. 363-378 Downloads
Paul Dawson

Volume 14, issue 2, 1994

Preliminary evidence on a new market: The futures on the Italian treasury bonds pp. 121-146 Downloads
Marcello Esposito and Claudio Giraldi
Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis pp. 147-167 Downloads
Thomas V. Schwarz and Andrew C. Szakmary
Fractal structure in currency futures price dynamics pp. 169-181 Downloads
Hsing Fang, Kon S. Lai and Michael Lai
Options on futures spreads: Hedging, speculation, and valuation pp. 183-213 Downloads
David C. Shimko
Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples pp. 215-235 Downloads
Stephen J. Taylor
The cost of hedging and the optimal hedge ratio pp. 237-258 Downloads
Charles T. Howard and Louis J. D'Antonio

Volume 14, issue 1, 1994

Analytic approximation of the optimal exercise boundaries for american future options pp. 1-24 Downloads
Joon Kim
Prediction of future currency exchange rates from current currency futures prices: The case of GM and JY pp. 25-36 Downloads
George Y. Jabbour
Forecasting interest rates with eurodollar futures rates pp. 37-50 Downloads
C. Steven Cole and William Reichenstein
The effect of market opening and closing on the volatility of eurodollar futures prices pp. 51-78 Downloads
Robert I. Webb and David G. Smith
A reexamination of put‐call parity on index futures pp. 79-101 Downloads
Joel S. Sternberg
Dependence in commodity prices: A comment pp. 103-109 Downloads
William O. Tomek
Upper bounds for american futures options: A note pp. 111-116 Downloads
Mohammed M. Chaudhury and Jason Wei
A note on the crash and participation in stock index futures pp. 117-119 Downloads
James Moser
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