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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 10, issue 6, 1990

Public policy intervention through futures market operations pp. 567-571 Downloads
James Moser
Stock index futures arbitrage: International evidence pp. 573-603 Downloads
Pradeep K. Yadav and Peter F. Pope
Price forecasts and interest rate forecasts: An extension of levy's hypothesis pp. 605-610 Downloads
Lloyd P. Blenman
The supply of storage in energy futures markets pp. 611-621 Downloads
Dong W. Cho and Gerald S. McDougall
The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes pp. 623-641 Downloads
Roger Fujihara and Keehwan Park
The distribution of gold futures spreads pp. 643-659 Downloads
Geoffrey Poitras
The intraday behavior of commodity futures prices pp. 661-671 Downloads
Terrence F. Martell and Ruben C. Trevino
Limit moves and price resolution: The case of the treasury bond futures market: A comment pp. 673-674 Downloads
Gregory J. Kuserk

Volume 10, issue 5, 1990

On valuing complex interest rate claims pp. 443-455 Downloads
Peter Ritchken and L. Sankarasubramanian
An examination of basis risk due to estimation pp. 457-467 Downloads
James Moser and Billy Helms
The efficiency of the U.S. dollar index futures market pp. 469-479 Downloads
Giora Harpaz, Steven Krull and Joseph Yagil
A discretionary approach to hedging a lender's exposure in adjustable rate mortgages pp. 481-496 Downloads
Thomas F. Gosnell and Andrea J. Heuson
Hedge ratios under inherent risk reduction in a commodity complex pp. 497-504 Downloads
Dah‐Nein Tzang and Raymond M. Leuthold
Options and investment strategies pp. 505-517 Downloads
Bernard Morard and Ahmed Naciri
Commodity convenience yields as an option profit pp. 519-533 Downloads
Robert Heinkel, Maureen E. Howe and John S. Hughes
Corporate taxes and hedging with futures pp. 535-540 Downloads
T. Hanan Eytan
Margin requirements in futures markets: Their relationship to price volatility pp. 541-554 Downloads
Raymond P. H. Fishe, Lawrence G. Goldberg, Thomas F. Gosnell and Sujata Sinha
Testing unbiasedness in futures markets: A clarification pp. 555-562 Downloads
Scott Hein, Christopher K. Ma and S. Scott MacDonald
Futures bibliography pp. 563-565 Downloads
Robert T. Daigler

Volume 10, issue 4, 1990

Option pricing with futures‐style margining pp. 327-338 Downloads
Derming Lieu
Put‐call‐futures parity and arbitrage opportunity in the market for options on gold futures contracts pp. 339-352 Downloads
Richard A. Followill and Billy P. Helms
Alternative estimates of weighted implied volatilities from soybean and live cattle options pp. 353-366 Downloads
Calum Turvey
Premiums on stock index futures‐some evidence pp. 367-375 Downloads
Swati Bhatt and Nusret Cakici
The relative responsiveness to information and variability of storable commodity spot and futures prices pp. 377-395 Downloads
Dean Leistikow
Forecasting accuracy and development of a financial market: The treasury bill futures market pp. 397-405 Downloads
Avraham Kamara
International trading/nontrading time effects on risk estimation in futures markets pp. 407-423 Downloads
Joanne Hill, Thomas Schneeweis and Jot Yau
Estimation and revision of a sequential auction model for the soybean futures current contract pp. 425-441 Downloads
William D. O'Neill

Volume 10, issue 3, 1990

Analyzing biases in valuation models of options on futures pp. 211-228 Downloads
James Eales and Robert J. Hauser
Out of sample effectiveness of a joint commodity and currency hedge: The case of soybean meal in Italy pp. 229-245 Downloads
Francesco S. Braga and Larry J. Martin
Optimal portfolios for commodity futures funds pp. 247-258 Downloads
B Brorsen and Louis P. Lukac
Basis risk and optimal decision making for California feedlots pp. 259-271 Downloads
Timothy Park and Frances Antonovitz
The relationship between the volatilities of the S&P 500 index and futures contracts implicit in their call option prices pp. 273-285 Downloads
Li‐Ming Han and Lalatendu Misra
Commodity futures cross hedging of foreign exchange exposure pp. 287-306 Downloads
Bruce A. Benet
An intertemporal measure of hedging effectiveness pp. 307-321 Downloads
Jack S. K. Chang and Hsing Fang
Stock index futures, expiration day volatility, and the “special” friday opening: A note pp. 323-325 Downloads
Anthony F. Herbst and Edwin Maberly

Volume 10, issue 2, 1990

South African political unrest, oil prices, and the time varying risk premium in the gold futures market pp. 103-111 Downloads
Michael Melvin and Jahangir Sultan
Potential use of futures markets for international marketing of cǒcte d'Ivoire coffee pp. 113-121 Downloads
Korotoumou Ouattara, Ted Schroeder and L. Orlo Sorenson
Dominant‐satellite relationships between live cattle cash and futures markets pp. 123-136 Downloads
Stephen R. Koontz, Philip Garcia and Michael A. Hudson
Testing rationality in futures markets pp. 137-152 Downloads
Christopher K. Ma, William H. Dare and Darla R. Donaldson
Expiration and delivery on the world sugar futures contract pp. 153-168 Downloads
Sarahelen Thompson, Thomas J. McNeill and James S. Eales
Determining futures “hedging reserve” capital requirements pp. 169-177 Downloads
Steven Blank
The economics of cash index alternatives pp. 179-194 Downloads
Lawrence Harris
Examining the validity of a test of futures market efficiency: A comment pp. 195-196 Downloads
Chung‐Hua Shen and Lee‐Rong Wang
Hedging canadian corporate debt: A comment and extensions pp. 197-200 Downloads
Richard Deaves
A note on hedging performance and portfolio effects pp. 201-204 Downloads
Da‐Hsiang Donald Lien
Futures bibliography pp. 205-209 Downloads
Robert T. Daigler

Volume 10, issue 1, 1990

An empirical analysis of bank hedging in futures markets pp. 1-12 Downloads
G. D. Koppenhaver
Information content of volatilities implied by option premiums in grain futures markets pp. 13-27 Downloads
William Wilson and Hung‐Gay Fung
Risk and return in copper, platinum, and silver futures pp. 29-39 Downloads
Eric C. Chang, Chao Chen and Son‐Nan Chen
Does futures trading destabilize cash prices? Evidence for U. S. live beef cattle pp. 41-60 Downloads
Robert Weaver and Aniruddha Banerjee
The hedging effectiveness of options and futures: A mean‐gini approach pp. 61-73 Downloads
C. Sherman Cheung, Clarence C. Y. Kwan and Patrick C. Y. Yip
An empirical note on hedging mortgages with puts pp. 75-78 Downloads
Austin Murphy and Douglas Gordon
U.S. futures exchanges as nonprofit entities pp. 79-88 Downloads
Scott Chambers and Colin Carter
Entry‐deterring contract specification on futures markets pp. 89-95 Downloads
Da‐Hsiang Donald Lien
Futures bibliography pp. 97-102 Downloads
Robert T. Daigler
Page updated 2020-08-06