Journal of Futures Markets

1981 - 2025

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

Peter Carayannopoulos

Option initiation and underlying market behavior: Evidence from Norway pp. 881-899

Øystein Gjerde and Frode Sættem

Conditional heteroskedasticity, asymmetry, and option pricing pp. 901-928

Taehoon Kang and B Brorsen

Volume‐volatility relationships for crude oil futures markets pp. 929-951

Andrew J. Foster

Forecasting futures trading volume using neural networks pp. 953-970

Iebeling Kaastra and Milton S. Boyd

Volume 15, issue 7, 1995

New trading practices and short‐run market efficiency pp. 731-765

Kenneth Froot and André F. Perold

Hedging short‐term interest risk under time‐varying distributions pp. 767-783

Louis Gagnon and Greg Lypny

Does options trading lead to greater cash market volatility? pp. 785-803

Arjun Chatrath, Sanjay Ramchander and Frank Song

Distortion‐free futures price series pp. 805-831

Charles G. Geiss

Dax index futures: Mispricing and arbitrage in German markets pp. 833-859

Wolfgang Bühler and Alexander Kempf

Volume 15, issue 6, 1995

Finnish turn‐of‐the‐month effects: Returns, volume, and implied volatiliy pp. 605-615

Teppo Martikainen, Jukka Perttunen and Vesa Puttonen

Mean‐Gini hedging in futures markets pp. 617-635

Haim Shalit

Do futures prices for commodities embody risk premiums? pp. 637-648

Richard Deaves and Itzhak Krinsky

A trading simulation test for weak‐form efficiency in live cattle futures pp. 649-675

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

Sharon Brown‐Hruska and Gregory Kuserk

Hedge performance of SPX index options and S&P 500 futures pp. 691-717

Bruce A. Benet and Carl F. Luft

Futures bibliography pp. 719-730

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

John M. Geppert

Has futures trading activity caused stock price volatility? pp. 537-557

Ali F. Darrat and Shafiqur Rahman

Solving for optimal futures and options positions using a simulation‐optimization technique pp. 559-571

Li‐Fen Lei, Donald Liu and Arne Hallam

Long memory in interest rate futures markets: A fractional cointegration analysis pp. 573-584

G. Geoffrey Booth and Yiuman Tse

The failure of the mortgage‐backed futures contract pp. 585-603

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

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

Susan J. Craln and Jae Ha Lee

Index arbitrage as cross‐sectional market making pp. 423-455

Craig W. Holden

Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets pp. 457-488

Abhay H. Abhyankar

Price movements and price discovery in the municipal bond index and the index futures markets pp. 489-506

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

Franklin R. Edwards and Michael S. Canter

Predicting stock market volatility: A new measure pp. 265-302

Jeff Fleming, Barbara Ostdiek and Robert E. Whaley

Some easy‐to‐implement methods of calculating American futures option prices pp. 303-344

M. M. Chaudhury

A two‐factor, preference‐free model for interest rate sensitive claims pp. 345-372

Ren‐Raw Chen

Volume 15, issue 2, 1995

Import and hedging uncertainty in international trade pp. 101-110

Avner Wolf

The welfare costs of Arkansas Best: The inefficiency of asymmetric taxation of hedging gains and losses pp. 111-129

Craig Pirrong

Conditional dynamics and optimal spreading in the precious metals futures markets pp. 131-166

Mahmoud Wahab

The effectiveness of arbitrage and speculation in the crude oil futures market pp. 167-186

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

Tae H. Park and Lorne Switzer

Futures bibliography pp. 201-209

Robert T. Daigler

Volume 15, issue 1, 1995

Exporting and hedging decisions with a foward currency market: The multiperiod case pp. 1-11

Guillermo Donoso

Mixed manipulation strategies in commodity futures markets pp. 13-38

Stephen Craig Pirrong

A risk‐return measure of hedging effectiveness: A simplification pp. 39-44

Cheng‐Kun Kuo and Keng‐Wang Chen

Price limits as an explanation of thin‐tailedness in pork bellies futures prices pp. 45-59

Seung‐Ryong Yang and B Brorsen

Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note pp. 61-67

Tae H. Park and Lorne Switzer

Analysis of spreads in agricultural futures pp. 69-86

W. Brian Barrett and Robert W. Kolb

Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB pp. 87-99

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

Gang Shyy and Bob Butcher

Forwards or options? Nesting procedures for “fire and forget” commodity hedging pp. 891-913

Roger J. Bowden

Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987 pp. 915-925

Bala Arshanapalli and John Doukas

Multiperiod hedging in the presence of conditional heteroskedasticity pp. 927-955

Donald Lien and Xiangdong Luo

On the arbitrage‐free pricing relationship between index futures and index options: A note pp. 957-962

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

Antonios Antoniou and Phil Holmes

The performance of S&P 500 futures product margins under the SPAN margining system pp. 789-811

Paul Kupiec

Futures pricing and the cost of carry under price limits pp. 813-836

Don Chance

An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market pp. 837-859

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

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

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

Sugato Chakravarty

A new measure to compare the hedging effectiveness of foreign currency futures versus options pp. 685-707

Chin‐Wen Hsln, Jerry Kuo and Cheng Few Lee

The gold‐silver spread: Integration, cointegration, predictability, and ex‐ante arbitrage pp. 709-756

Mahmoud Wahab, Richard Cohn and Malek Lashgari

Further evidence on parity relationships in options on S&P 500 index futures pp. 757-771

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

Don Cyr and Tanya Llewellyn

Interest rate futures: Evidence on forecast power, expected premiums, and the unbiased expectations hypothesis pp. 531-543

Tim Krehbiel and Lee Adkins

Multiple delivery points, pricing dynamics, and hedging effectiveness in futures markets for spatial commodities pp. 545-573

Stephen Craig Pirrong, Roger Kormendi and Philip Meguire

The pricing of municipal bond index futures pp. 575-596

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

Ehud I. Ronn and Robert R. Bliss

Nonconstant optimal hedge ratio estimation and nested hypotheses tests pp. 619-635

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

Jahangir Sultan

Examining the dependency in intra‐day stock index futures pp. 405-419

Hung‐Gay Fung, Wai‐Chung Lo and John E. Peterson

Competing derivative equity instruments: Empirical evidence on hedged portfolio performance pp. 421-436

G. D. Hancock and P. D. Weise

Estimating the effective BID/ASK spread from time and sales data pp. 437-455

Tom Smith and Robert E. Whaley

A time series approach to testing for market linkage: Unit root and cointegration tests pp. 457-474

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

Kevin P. McNew and Juan Andres Espinosa

The effect of CME rule 552 on dual traders pp. 493-510

Eric C. Chang, Peter R. Locke and Steven Mann

Volume 14, issue 3, 1994

Forecasting the nearby basis of live cattle pp. 259-273

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

Chao Chen and James Williams

Using intraday data to test for effects of index futures on the underlying stock markets pp. 293-322

Hong Chol and Avanidhar Subrahmanyam

Assessing the intraday relationship between implied and historical volatility pp. 323-346

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

Kevin L. Kimle and Marvin L. Hayenga

Comparative pricing of American and European index options: An empirical analysis pp. 363-378

Paul Dawson

Volume 14, issue 2, 1994

Preliminary evidence on a new market: The futures on the Italian treasury bonds pp. 121-146

Marcello Esposito and Claudio Giraldi

Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis pp. 147-167

Thomas V. Schwarz and Andrew C. Szakmary

Fractal structure in currency futures price dynamics pp. 169-181

Hsing Fang, Kon S. Lai and Michael Lai

Options on futures spreads: Hedging, speculation, and valuation pp. 183-213

David C. Shimko

Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples pp. 215-235

Stephen J. Taylor

The cost of hedging and the optimal hedge ratio pp. 237-258

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

Joon Kim

Prediction of future currency exchange rates from current currency futures prices: The case of GM and JY pp. 25-36

George Y. Jabbour

Forecasting interest rates with eurodollar futures rates pp. 37-50

C. Steven Cole and William Reichenstein

The effect of market opening and closing on the volatility of eurodollar futures prices pp. 51-78

Robert I. Webb and David G. Smith

A reexamination of put‐call parity on index futures pp. 79-101

Joel S. Sternberg

Dependence in commodity prices: A comment pp. 103-109

William O. Tomek

Upper bounds for american futures options: A note pp. 111-116

Mohammed M. Chaudhury and Jason Wei

A note on the crash and participation in stock index futures pp. 117-119

James Moser