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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 11, issue 6, 1991

The behavior of “false” futures prices pp. 651-668 Downloads
Robert I. Webb
Dynamic efficiency and price leadership in stock index cash and futures markets pp. 669-683 Downloads
Thomas V. Schwarz and Francis E. Laatsch
Price discovery and cointegration for live hogs pp. 685-696 Downloads
Ted Schroeder and Barry Goodwin
Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation pp. 697-710 Downloads
Charles T. Howard and Louis J. D'Antonio
“Chaos” in futures markets? A nonlinear dynamical analysis pp. 711-728 Downloads
Steven Blank
An empirical test for parities between metal prices at the LME pp. 729-736 Downloads
Philip Hans Franses and Paul Kofman
Price‐risk management with options: Optimal market positions and institutional value pp. 737-750 Downloads
George W. Ladd and Steven D. Hanson
An alternative methodology for measuring expiration day price effects at Friday's close: The expected price reversal—A note pp. 751-754 Downloads
Anthony F. Herbst and Edwin Maberly
Futures bibliography pp. 755-761 Downloads
Robert T. Daigler

Volume 11, issue 5, 1991

Dual trading and futures market liquidity: An analysis of three chicago board of trade contract markets pp. 519-537 Downloads
Michael J. Walsh and Stephen J. Dinehart
Prospects for hedging federal farm program budgetary risks pp. 539-555 Downloads
Richard G. Heifner, Bruce H. Wright and Lynn J. Maish
Long hedgers and multiple delivery specifications on futures contracts pp. 557-565 Downloads
Da‐Hsiang Donald Lien
A cointegration test for market efficiency pp. 567-575 Downloads
Kon S. Lai and Michael Lai
Futures market efficiency: Evidence from cointegration tests pp. 577-589 Downloads
Abdur R. Chowdhury
Do treasury bill futures rates satisfy rational expectation properties? pp. 591-601 Downloads
C. Steven Cole, Michael Impson and William Reichenstein
Estimation of the optimal hedge ratio, expected utility, and ordinary least squares regression pp. 603-612 Downloads
John Heaney and Geoffrey Poitras
A GARCH examination of the relationship between volume and price variability in futures markets pp. 613-621 Downloads
Mohammad Majand and Kenneth Yung
Equilibrium treasury bond futures pricing in the presence of implicit delivery options pp. 623-645 Downloads
Gerald D. Gay and Steven Manaster
The relationship between stock indices and stock index futures from 3:00 to 3:15: A clarification pp. 647-649 Downloads
Thomas V. Schwarz

Volume 11, issue 4, 1991

Risk‐return hedging effectiveness measures for stock index futures pp. 399-409 Downloads
Mary Lindahl
Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration pp. 411-440 Downloads
Robert Brooks
Pricing stock index futures with stochastic interest rates pp. 441-452 Downloads
Nusret Cakici and Sris Chatterjee
Determining the relevant fair value(s) of S&P 500 futures: A case study approach pp. 453-460 Downloads
Ira G. Kawaller
Cointegration: Some results on U.S. cattle prices pp. 461-474 Downloads
David Bessler and Ted Covey
Alternative commodity trading vehicles: A performance analysis pp. 475-490 Downloads
Thomas Schneeweis, Uttama Savanayana and David McCarthy
An empirical analysis of thrift futures market activity pp. 491-503 Downloads
J. Austin Murphy
Futures bibliography pp. 505-517 Downloads
Robert T. Daigler

Volume 11, issue 3, 1991

Portfolio analysis of stocks, bonds, and managed futures using compromise stochastic dominance pp. 259-270 Downloads
Daniel Fischmar and Carl Peters
The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures pp. 271-289 Downloads
Anastasios Malliaris and Jorge L. Urrutia
The intraday ex post and ex ante profitability of index arbitrage pp. 291-311 Downloads
Robert C. Klemkosky and Jae Ha Lee
A note on the effects of the initiation of major market index futures on the daily returns of the component stocks pp. 313-317 Downloads
Francis E. Laatsch
Futures option expirations and volatility in the stock index futures market pp. 319-330 Downloads
G. D. Hancock
Measuring seasonalities in commodity markets and the half‐month effect pp. 331-345 Downloads
Nikolaos Milonas
Hedging strategies for exports of cereals and cereal products to the European community pp. 347-369 Downloads
Francesco S. Braga and Larry J. Martin
Reduction in hedging risk from adjusting for autocorrelation in the residuals of a price level regression pp. 371-384 Downloads
Emmett Elam
Cold fusion—hot metal: An analysis of the metals futures market reactions to the cold fusion announcement pp. 385-397 Downloads
Stephen R. Hill, Norman H. Moore and Stephen Pruitt

Volume 11, issue 2, 1991

The effects of regulations on trading activity and return volatility in futures markets pp. 135-151 Downloads
Stanley R. Pliska and Catherine T. Shalen
Futures trading, transaction costs, and stock market volatility pp. 153-163 Downloads
B Brorsen
Risk premia and price volatility in futures markets pp. 165-177 Downloads
Jisoo Yoo and G. S. Maddala
A test of two models in forecasting stock index futures price volatility pp. 179-190 Downloads
W. L. Randolph and Mohammad Najand
Stock price volatility: Some evidence from an ARCH model pp. 191-200 Downloads
Brad Baldauf and G. J. Santoni
Tailing the hedge: Why and how pp. 201-212 Downloads
Stephen Figlewski, Yoram Landskroner and William L. Silber
Margin requirements and the demand for futures contracts pp. 213-237 Downloads
L. Kalavathi and Latha Shanker
Testing index futures market efficiency using price differences: A critical analysis pp. 239-252 Downloads
Pradeep K. Yadav and Peter F. Pope
The January effect, arbitrage opportunities, and derivative securities: Has anything changed? pp. 253-257 Downloads
Edwin Maberly and Brian A. Maris

Volume 11, issue 1, 1991

Index option pricing: Do investors pay for skewness? pp. 1-8 Downloads
John S. Cotner
Systematic skewness in futures contracts pp. 9-24 Downloads
Joan C. Junkus
The soybean complex spread: An examination of market efficiency from the viewpoint of a production process pp. 25-37 Downloads
Robert L. Johnson, Carl R. Zulauf, Scott Irwin and Mary E. Gerlow
Estimating time‐varying optimal hedge ratios on futures markets pp. 39-53 Downloads
Robert J. Myers
Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies pp. 55-68 Downloads
Anastasios Malliaris and Jorge Urrutia
The informational content of the basis: Evidence from Canadian barley, oats, and canola futures markets pp. 69-80 Downloads
Nabil T. Khoury and Pierre Yourougou
Evidence for a weather persistence effect on the corn, wheat, and soybean growing season price dynamics pp. 81-88 Downloads
Stanley C. Stevens
Pricing cross‐currency options pp. 89-93 Downloads
John Rumsey
Index futures, program trading, and the covariability of the major market index stocks pp. 95-111 Downloads
John D. Martin and A. J. Senchack
The relationship between forward and futures contracts: A comment pp. 113-115 Downloads
Bjorn Flesaker
A note on the role of futures indivisibility: Reconciling the theoretical literature pp. 117-120 Downloads
Michael A. Polakoff
Futures bibliography pp. 121-133 Downloads
Robert T. Daigler
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