Journal of Futures Markets

1981 - 2025

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

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

Gary G. J. Lee

Volatility and maturity effects in the Nikkei index futures pp. 895-909

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

Yiuman Tse

Risk arbitrage opportunities in petroleum futures spreads pp. 931-955

Paul Berhanu Girma and Albert S. Paulson

Hedging performance of shrimp futures contracts with multiple deliverable grades pp. 957-990

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

Thierry Ané

Managed futures, positive feedback trading, and futures price volatility pp. 759-776

Scott Irwin and Satoko Yoshimaru

An empirical comparison of continuous time models of the short term interest rate pp. 777-797

Turan G. Bali

Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions pp. 799-815

Aaron H. W. Low, Jayaram Muthuswamy and Robert I. Webb

A flexible binomial option pricing model pp. 817-843

Yisong “Sam” Tian

A note on pricing Asian derivatives with continuous geometric averaging pp. 845-858

John E. Angus

Volume 19, issue 6, 1999

Price discovery in the German equity index derivatives markets pp. 619-643

G. Geoffrey Booth, Raymond W. So and Yiuman Tse

Valuation of futures and commodity options with information costs pp. 645-664

Mondher Bellalah

Foreign exchange futures volatility: Day‐of‐the‐week, intraday, and maturity patterns in the presence of macroeconomic announcements pp. 665-693

Li‐Ming Han, John L. Kling and Clifford W. Sell

Mispricing of index futures contracts and short sales constraints pp. 695-715

Joseph K. W. Fung and Paul Draper

Harvest contract price volatility for cotton pp. 717-733

Darren Hudson and Keith Coble

Volume 19, issue 5, 1999

Do S&P 500 index options violate the martingale restriction? pp. 499-521

Norman Strong and Xinzhong Xu

Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets pp. 523-540

Ah‐Boon Sim and Ralf Zurbreugg

A comprehensive examination of the compass rose pattern in futures markets pp. 541-564

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

Jeremy Graham‐Higgs, Alicia Rambaldi and Brian Davidson

VaR without correlations for portfolios of derivative securities pp. 583-602

Giovanni Barone‐Adesi, Kostas Giannopoulos and Les Vosper

A reappraisal of the forecasting performance of corn and soybean new crop futures pp. 603-618

Carl R. Zulauf, Scott Irwin, Jason E. Ropp and Anthony J. Sberna

Volume 19, issue 4, 1999

Managed commodity funds pp. 377-411

Franklin R. Edwards and Jimmy Liew

The relative efficiency of commodity futures markets pp. 413-432

Neil Kellard, Paul Newbold, Tony Rayner and Christine Ennew

Margin requirements and futures activity: Evidence from the soybean and corn markets pp. 433-455

Bahram Adrangi and Arjun Chatrath

Fractional cointegration and futures hedging pp. 457-474

Donald Lien and Yiu Kuen Tse

Trading costs and price discovery across stock index futures and cash markets pp. 475-498

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

Kyriacos Kyriacou and Lucio Sarno

The soybean crush spread: Empirical evidence and trading strategies pp. 271-289

David P. Simon

Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison pp. 291-306

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

David Ding

Modeling nonlinear dynamics of daily futures price changes pp. 325-351

Andre H. Gao and George H. K. Wang

The forward pricing function of the shipping freight futures market pp. 353-376

Manolis Kavussanos and Nikos K. Nomikos

Volume 19, issue 2, 1999

Optimal margin level in futures markets: Extreme price movements pp. 127-152

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

Gerald D. Gay and Dae Y. Jung

The relationship between spot and futures prices: Evidence from the crude oil market pp. 175-193

Param Silvapulle and Imad A. Moosa

Mid‐day volatility spikes in U.S. futures markets pp. 195-216

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

Jae H. Min and Mohammad Najand

A Note: The CSCE cheddar cheese cash and futures price long‐term equilibrium relationship revisited pp. 233-244

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

David M. Walsh and Jinwei Quek

Market microstructure of FT‐SE 100 index futures: An intraday empirical analysis pp. 31-58

Yiuman Tse

Efficiency tests in the Spanish futures markets pp. 59-77

Chun I. Lee and Ike Mathur

Detecting and modeling changing volatility in the copper futures market pp. 79-100

Kevin Bracker and Kenneth L. Smith

A note on estimating the minimum extended Gini hedge ratio pp. 101-113

Donald Lien and David R. Shaffer

Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment pp. 115-120

Carl A. Batlin

Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Reply pp. 121-125

Dilip K. Ghosh

Volume 18, issue 8, 1998

Regime switching and cointegration tests of the efficiency of futures markets pp. 871-901

Ying‐Foon Chow

Short selling, unwinding, and mispricing pp. 903-923

Alexander Kempf

Dynamic hedging of paper with T bill futures pp. 925-938

Gregory Koutmos and Andreas Pericli

Noninformative and informative tests of efficiency in three energy futures markets pp. 939-964

Emilio Peroni and Robert McNown

Commodity futures trading performance using neural network models versus ARIMA models pp. 965-983

Chrispin Ntungo and Milton Boyd

Returns and volatility in the Kuala Lumpur crude pp. 985-999

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

Kee‐Hong Bae, Kalok Chan and Yan‐Leung Cheung

An analysis of the profiles and motivations of habitual commodity speculators pp. 765-801

W. Bruce Canoles, Sarahelen Thompson, Scott Irwin and Virginia Grace France

Asymmetric information in commodity futures markets: Theory and empirical evidence pp. 803-825

Stylianos Perrakis and Nabil Khoury

The exchange rate crisis of September 1992 and the pricing of Italian financial futures pp. 827-849

Giulio Cifarelli

Are regression approach futures hedge ratios stationary? pp. 851-866

Robert Ferguson and Dean Leistikow

A note on a risk‐return measure of hedging effectiveness pp. 867-870

Sudhakar Satyanarayan

Volume 18, issue 6, 1998

Stochastic volatility functions implicit in Eurodollar futures options pp. 605-627

Karen Bhanot

Stochastic dominance arguments and the bounding of the generalized concave option price pp. 629-670

Claude Henin and Nathalie Pistre

Assessing inefficiency in the futures markets pp. 671-704

E.A. Olszewski

Hedging time‐varying downside risk pp. 705-722

Donald Lien and Yiu Kuen Tse

Design, pricing, and returns of short‐term hog marketing window contracts pp. 723-742

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

Geoffrey Poitras

Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market pp. 519-540

Abhay Abhyankar

Effectiveness of dual hedging with price and yield futures pp. 541-561

Dong‐Feng Li and Tomislav Vukina

Is after‐hours trading informative? pp. 563-579

Carlos A. Ulibarri

Seasonality in petroleum futures spreads pp. 581-598

Paul Berhanu Girma and Albert S. Paulson

How to finance your investment opportunity internally: A note pp. 599-604

Enrico Pennings

Volume 18, issue 4, 1998

An empirical test of the Hull‐White option pricing model pp. 363-378

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

Michael Jacobs and Joseph Onochie

Return‐volume dynamics in futures markets pp. 399-426

Ahmet E. Kocagil and Yochanan Shachmurove

The emergence of a futures market: Mungbeans on the China Zhengzhou Commodity Exchange pp. 427-448

Jeffrey Williams, Anne Peck, Albert Park and Scott Rozelle

Hedging hard red winter wheat: Kansas City versus Chicago pp. 449-466

B Brorsen, Darren W. Buck and Stephen R. Koontz

The bid‐ask spread on stock index options: An ordered probit analysis pp. 467-485

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

Haiwei Chen

The influence of daily price limits on trading in Nikkei futures pp. 265-279

Henk Berkman and Onno W. Steenbeek

Liquidity without volume. II. Using block orders to measure market resiliency pp. 281-296

Dana R. Clyman and Richard Jaycobs

An examination of the relationship between stock index cash and futures markets: A cointegration approach pp. 297-305

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

Per Alkebäck and Niclas Hagelin

The mispricing of callable U.S. treasury bonds: A note pp. 329-342

Peter Carayannopoulos

Concentrated trading in the foreign exchange futures markets: Discretionary liquidity trading or market closure? pp. 343-362

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

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

Antonios Antoniou, Phil Holmes and Richard Priestley

Valuation of a European futures option in the BIFFEX market pp. 167-175

Jostein Tvedt

A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract pp. 177-200

Richard Heaney

Information and volatility in futures and spot markets: The Case of the Japanese yen pp. 201-223

Arjun Chatrath and Frank Song

Options trading when the underlying market is not transparent pp. 225-242

John Board and Charles Sutcliffe

Volume 18, issue 1, 1998

Extracting market views from the price of options on futures pp. 1-34

Gregory M. Martinez

The mispricing of callable U.S. treasury bonds: A closer look pp. 35-51

Bradford Jordan, Susan D. Jordan and David R. Kuipers

Volume and price relationships: Hypotheses and testing for agricultural futures pp. 53-72

Anastasios Malliaris and Jorge L. Urrutia

Conditional information: When are pork belly cold storage reports informative? pp. 73-89

Thomas L. Mann and Richard Dowen

Volume relationships among types of traders in the financial futures markets pp. 91-113

Marilyn K. Wiley and Robert T. Daigler

Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates pp. 115-127

Dilip K. Ghosh