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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 12, issue 6, 1992

Inter‐currency transmission of volatility in Foreign exchange futures pp. 609-620 Downloads
Mohammad Najand, Hamid Rahman and Kenneth Yung
Bid‐ask spreads in financial futures pp. 621-634 Downloads
Paul A. Laux and A. J. Senchack
Do futures markets react efficiently to predictable errors in Government Announcements? pp. 635-643 Downloads
David E. Runkle
The effect of futures trading on the stability of standard and poor 500 returns pp. 645-658 Downloads
Avraham Kamara, Thomas W. Miller and Andrew F. Siegel
Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time? pp. 659-677 Downloads
Ravi Vaidyanathan and Tim Krehbiel
Memories, heteroscedasticity, and price limit in Currency futures markets pp. 679-692 Downloads
G. Wenchi Kao and Christopher K. Ma
Optimal hedging with futures contracts: The case for fixed‐income portfolios pp. 693-703 Downloads
Eric Briys and Dan Pieptea
Variability in soybean futures prices: An integrated framework pp. 705-728 Downloads
Deborah H. Streeter and William G. Tomek

Volume 12, issue 5, 1992

Stock index futures listing and structural change in time‐varying volatility pp. 493-509 Downloads
Sang Bin Lee and Ki Yool Ohk
Hedging with synthetics, foreign‐exchange forwards, and the export decision pp. 511-517 Downloads
Udo F. Broil and Jack E. Wahl
Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets pp. 519-538 Downloads
Christopher K. Ma, Richard L. Peterson and R. Stephen Sears
A new look at interest rate futures contracts pp. 539-548 Downloads
Ren‐Raw Chen
Optimal weights and international portfolio hedging with U.S. dollar index futures: An empirical investigation pp. 549-562 Downloads
Steven Krull and Anoop Rai
The behavior of oil futures returns around OPEC conferences pp. 563-574 Downloads
Richard Deaves and Itzhak Krinsky
Impact of the price adjustment process and trading noise on return patterns of grain futures pp. 575-585 Downloads
Shi‐Miin Liu, Sarahelen Thompson and Paul Newbold
A note on the effect of no‐arbitrage conditions pp. 587-593 Downloads
Da‐Hsiang Donald Lien
The informational role of end‐of‐the‐day returns in stock index futures pp. 595-601 Downloads
Anthony F. Herbst and Edwin Maberly
Futures Bibliography pp. 603-607 Downloads
Robert T. Daigler

Volume 12, issue 4, 1992

Intraday patterns in the S&P 500 index futures market pp. 365-381 Downloads
Peter D. Ekman
The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures pp. 383-409 Downloads
Gregory J. Kuserk, Peter R. Locke and Chera L. Sayers
A multiperiod model for the selection of a futures portfolio pp. 411-428 Downloads
John F. Marshall and Anthony F. Herbst
Dependence in commodity prices pp. 429-446 Downloads
Richard L. Peterson, Christopher K. Ma and Robert J. Ritchey
A note on constructing spot price indices to approximate futures prices pp. 447-457 Downloads
John Cita and Donald Lien
The theoretical source of autocorrelation in forward and futures price relationships pp. 459-473 Downloads
Michael A. Polakoff and Fernando Diz
Futures prices are not stable‐paretian distributed pp. 475-487 Downloads
Donald W. Gribbin, Randy W. Harris and Hon‐Shiang Lau
Futures bibliography pp. 489-490 Downloads
Robert T. Daigler

Volume 12, issue 3, 1992

Robustness results for regression hedge ratios: Futures contracts with multiple deliverable grades pp. 253-263 Downloads
P. V. Viswanath and Sris Chatterjee
Estimating the volatility of S&P 500 futures prices using the extreme‐value method pp. 265-273 Downloads
James B. Wiggins
Option‐based evidence of the nonstationarity of expected S&P 500 futures price distributions pp. 275-290 Downloads
Bruce Sherrick, Scott Irwin and D. Lynn Forster
Evidence of chaos in commodity futures prices pp. 291-305 Downloads
Gregory P. Decoster, Walter C. Labys and Douglas W. Mitchell
Hedging with forecasting: A state—space approach to modeling vector‐valued time series pp. 307-327 Downloads
Tomislav Vukina
A reexamination of the systematic downward bias in live cattle futures prices pp. 329-338 Downloads
Emmett Elam and Chaw Wayoopagtr
Constructing accurate cash settlement indices: The role of index specifications pp. 339-360 Downloads
John Cita and Donald Lien
Limit moves and price resolution: A reply pp. 361-363 Downloads
Christopher K. Ma, Ramesh Rao and R. Stephen Sears

Volume 12, issue 2, 1992

Dividends and S&P 100 index option valuation pp. 123-137 Downloads
Campbell Harvey and Robert E. Whaley
Two‐step testing procedure for price discovery role of futures prices pp. 139-149 Downloads
Jing Quan
Arbitrage and price behavior of the Nikkei stock index futures pp. 151-161 Downloads
Kian‐Guan Lim
Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges pp. 163-175 Downloads
Bruce A. Benet
An empirical evaluation of the extended mean‐gini coefficient for futures hedging pp. 177-186 Downloads
Robert W. Kolb and John Okunev
Hedge effectiveness: Basis risk and minimum‐variance hedging pp. 187-201 Downloads
Mark G. Castelino
Rolling over futures contracts: A note pp. 203-217 Downloads
Christopher K. Ma, Jeffrey M. Mercer and Matthew A. Walker
Ex‐ante hedging strategy selection using foreign‐exchange‐rate forecasting models pp. 219-236 Downloads
Jerry A. Hammer
Effect of institutional realities on dynamic hedging performance for a Grain producer pp. 237-251 Downloads
Steve Martinez and Kelly Zering

Volume 12, issue 1, 1992

The profitability of volatility spreads around information releases pp. 1-9 Downloads
Margaret A. Monroe
The significance of hedging capital requirements pp. 11-18 Downloads
Steven Blank
Application of mean‐variance analysis to broad‐based futures contracts pp. 19-32 Downloads
Da‐Hsiang Donald Lien
Minimum variance hedge ratios for stock index futures: Duration and expiration effects pp. 33-53 Downloads
Mary Lindahl
Hedge ratios under inherent risk reduction in a commodity complex: An interpretation pp. 55-59 Downloads
Jacques A. Schnabel
Supplementary information and markov processes in Soybean futures trading pp. 61-74 Downloads
Steven C. Turner, Jack E. Houston and Tommie L. Shepherd
Is normal backwardation normal? pp. 75-91 Downloads
Robert W. Kolb
A redetermination of hedging strategies using foreign currency futures contracts and forward markets pp. 93-104 Downloads
A. F. Herbst, P. E. Swanson and S. C. Caples
Optimal futures positions for life insurance companies pp. 105-115 Downloads
Hamid Rahman and Mohammad Najand
Futures Bibliography pp. 117-121 Downloads
Robert T. Daigler
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