Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Editor's note pp. 887-887: Robert I. Webb
Pascal spreading of short‐term interest rate contracts pp. 889-910: John J. Merrick, Jr.
Trading and hedging in S&P 500 spot and futures markets using genetic programming pp. 911-942: Jun Wang
Trading volume, bid–ask spread, and price volatility in futures markets pp. 943-970: George H. K. Wang and Jot Yau
The relationship between index option moneyness and relative liquidity pp. 971-987: Cheri Etling and Thomas W. Miller, Jr.

Normal backwardation is normal pp. 803-821: Joëlle Miffre
Optimal hedging of contingent exposure: the importance of a risk premium pp. 823-841: Svein‐Arne Persson and Tørres Trovik
Exports and hedging exchange rate risks: the multi‐country case pp. 843-864: Axel F. A. Adam‐Müller
The motivation for hedging revisited pp. 865-885: Joost M. E. Pennings and Raymond M. Leuthold

Standard and Poor’s depository receipts and the performance of the S&P 500 index futures market pp. 705-716: Lorne Switzer, Paula L. Varson and Samia Zghidi
Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models pp. 717-751: Turan G. Bali
Determinants of endogenous price risk in corn and wheat futures markets pp. 753-774: Barry Goodwin and Randy Schnepf
Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract pp. 775-801: Manolis Kavussanos and Nikos K. Nomikos

The cost of carry model and regime shifts in stock index futures markets: An empirical investigation pp. 603-624: Lucio Sarno and Giorgio Valente
Pricing American options with stochastic volatility: Evidence from S&P 500 futures options pp. 625-659: Lim Kian Guan and Guo Xiaoqiang
Stock index futures trading and volatility in international equity markets pp. 661-685: Huseyin Gulen and Stewart Mayhew
Transactions data tests of efficiency: An investigation in the Singapore futures markets pp. 687-704: Mahendra Raj

Bernoulli speculator and trading strategy risk pp. 507-523: Abraham Lioui and Patrice Poncet
Memory in returns and volatilities of futures' contracts pp. 525-543: Nuno Crato and Bonnie K. Ray
Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures market pp. 545-571: Michael S. Haigh
Price limits, margin requirements, and default risk pp. 573-602: Pin‐Huang Chou, Mei‐Chen Lin and Min-Teh Yu

Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market pp. 405-424: Stefan Mittnik and Sascha Rieken
Intra‐day volatility components in FTSE‐100 stock index futures pp. 425-444: Alan E.H. Speight, David G. McMillan and Owain ap Gwilym
Examining futures price changes and volatility on the trading day after a limit‐lock day pp. 445-466: Chul Woo Park
The lead–lag relationship between equities and stock index futures markets around information releases pp. 467-487: Alex Frino, Terry Walter and Andrew West
Efficient use of commodity futures in diversified portfolios pp. 489-506: Gerald R. Jensen, Robert R. Johnson and Jeffrey M. Mercer

The intraday distribution of volatility and the value of wildcard options pp. 307-320: Paul Dawson
Integration and arbitrage in the Spanish financial markets: An empirical approach pp. 321-344: Alejandro Balbás, Iñaki R. Longarela and Ángel Pardo
Response to price and production risk: The case of Australian wheat pp. 345-359: Alicia Rambaldi and Phillip Simmons
Hedging downside risk under asymmetric taxation pp. 361-374: Donald Lien and Michael Metz
Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints pp. 375-396: Joaquín Arias, B Brorsen and Ardian Harri
Production and hedging under Knightian uncertainty pp. 397-404: Donald Lien

The role of floor brokers in the supply of liquidity: An empirical analysis pp. 205-218: Henk Berkman and Laura Hayes
Modes of fluctuation in metal futures prices pp. 219-241: Thomas J. Urich
Effects of reduced government deficiency payments on post‐harvest wheat marketing strategies pp. 243-263: Brian D. Adams, Steven Betts and B Brorsen
Empirical performance of alternative pricing models of currency options pp. 265-291: Ghulam Sarwar and Timothy Krehbiel
Pricing Eurodollar futures options using the BDT term structure model: The effect of yield curve smoothing pp. 293-306: Turin G. Bali and Ahmet K. Karagozoglu

Market volatility and the demand for hedging in stock index futures pp. 105-125: Eric Chang, Ray Chou and Edward F. Nelling
Time series volatility of commodity futures prices pp. 127-144: Jane Black and Ian Tonks
Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis pp. 145-166: Louis T. W. Cheng, Joseph K. W. Fung and Kam C. Chan
Early exercise of American put options: Investor rationality on the Swedish equity options market pp. 167-188: Malin Engström, Lars Nordén and Anders Strömberg
The risk management effectiveness of multivariate hedging models in the U.S. soy complex pp. 189-204: Robert A. Collins

Editor's note pp. 1-1: Robert I. Webb
Introduction pp. 3-4: Mark J. Powers
The relationship between volume and price variability in futures markets pp. 5-18: Bradford Cornell
Cash settlement of futures contracts: An economic analysis pp. 19-40: Kenneth Garbade and William L. Silber
Portfolio insurance trading rules pp. 41-57: Richard Bookstaber and Joseph A. Langsam
A theory of negative prices for storage pp. 59-71: Brian Wright and Jeffrey C. Williams
Estimating time‐varying optimal hedge ratios on futures markets pp. 73-87: Robert J. Myers
Hedge effectiveness: Basis risk and minimum‐variance hedging pp. 89-103: Mark G. Castelino