Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 17, issue 8, 1997

Cash settlement when the underlying securities are thinly traded: A case study pp. 855-871

Bradford Cornell

Implied volatility asymmetries in treasury bond futures options pp. 873-885

David P. Simon

The impact of market‐specific public information on return variance in an illiquid market pp. 887-908

Rohan Christie‐David and Timothy W. Koch

Multiple‐year pricing strategies for corn and soybeans pp. 909-934

David E. Kenyon and Charles V. Beckman

Predicting spot exchange rates in a nonlinear estimation framework using futures prices pp. 935-956

A. M. Parhizgari and Maria Eugenia De Boyrie

Index futures and options and stock market volatility pp. 957-974

Andreas Pericli and Gregory Koutmos

Forwards or options: A correction pp. 975-978

Da‐Hsiang Donald Lien

Volume 17, issue 7, 1997

Program trading, nonprogram trading, and market volatility pp. 733-756

Kedreth C. Hogan, Kenneth F. Kroner and Jahangir Sultan

Trading volume and transaction costs in futures markets pp. 757-780

George H. K. Wang, Jot Yau and Tony Baptiste

Using derivatives in major currencies for cross‐hedging currency risks in Asian emergency markets pp. 781-796

Raj Aggarwal and Andrea L. Demaskey

The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets pp. 797-815

Joseph K. W. Fung, Louis T. W. Cheng and Kam C. Chan

Out‐of‐sample hedging effectiveness of currency futures for alternative models and hedging strategies pp. 817-837

Abe De Jong, Frans De Roon and Chris Veld

Derivatives and the price of risk pp. 839-854

Nicolas P. B. Bollen

Volume 17, issue 6, 1997

Estimating cash settlement price: The bootstrap and other estimators pp. 617-632

John Cita and Donald Lien

Continuously traded options on discretely traded commodity futures contracts pp. 633-666

Robert I. Webb, Gyoichi Iwata, Koichi Fujiwara and Hiroshi Sunada

Time‐dependent barrier option values pp. 667-688

Cho H. Hui

Short‐run deviations and volatility in spot and futures stock returns: Evidence from Australia, Hong Kong, and Japan pp. 689-705

Taufiq Choudhry

Commitment of traders, basis behavior, and the issue of risk premia in futures markets pp. 707-731

Arjun Chatrath, Youguo Liang and Frank Song

Volume 17, issue 5, 1997

Charting: Chaos theory in disguise? pp. 489-514

William C. Clyde and Carol L. Osler

A comparison of futures pricing models in a new market: The case of individual share futures pp. 515-541

T.J. Brailsford and A.J. Cusack

Metallgesellschaft: A prudent hedger ruined, or a wildcatter on NYMEX? pp. 543-578

Stephen Craig Pirrong

Stochastic interest rates, transaction costs, and immunizing foreign currency risk pp. 579-598

Raymond Chiang, John Okunev and Mark Tippett

Hedging efficiency: A futures exchange management approach pp. 599-615

Joost M.E. Pennings and Matthew T.G. Meulenberg

Volume 17, issue 4, 1997

International currency relationship information revealed by cross‐option prices pp. 369-384

Andrew F. Siegel

An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets pp. 385-416

Roger A. Fujihara and Mbodja Mougoue

The impact of proprietary--public information on pork futures pp. 417-432

Thomas L. Mann and Richard J. Dowen

Searching for fractal structure in agricultural futures markets pp. 433-473

Marco Corazza, Anastasios Malliaris and Carla Nardelli

Cross hedging in currency forward markets: A note pp. 475-482

Udo Broll

A note on the valuation of an exotic timing option pp. 483-487

Mondher Bellalah and Jean-Luc Prigent

Volume 17, issue 3, 1997

Liquidity without volume: The case of FINEX, Dublin pp. 247-277

Dana R. Clyman, Christopher S. Allen and Richard Jaycobs

An evaluation of price linkages between futures and cash markets for cheddar cheese pp. 279-301

T. Randall Fortenbery and Hector O. Zapata

Marking‐to‐market and the demand for interest rate futures contracts pp. 303-316

Abraham Lioui

Informational content in historical CTA performance pp. 317-339

David McCarthy, Thomas Schneeweis and Richard Spurgin

Crop year influences and variability of the agricultural futures spreads pp. 341-367

Hans R. Dutt, John Fenton, Jonathan D. Smith and George H. K. Wang

Volume 17, issue 2, 1997

A simple approach to bond option pricing pp. 131-160

Jason Z. Wei

Fractional dynamics in international commodity prices pp. 161-189

John Barkoulas, Walter C. Labys and Joseph Onochie

Risk premia in the ruble/dollar futures market pp. 191-214

Anatoly Peresetsky and Frans de Roon

Put‐call parity with futures‐style margining pp. 215-227

Stephen A. Easton

Futures market transaction costs pp. 229-245

Peter R. Locke and P. C. Venkatesh

Volume 17, issue 1, 1997

Convenience yields as call options: An empirical analysis pp. 1-15

Nikolaos Milonas and Stavros B. Thomadakis

Volatility, storage and convenience: Evidence from natural gas markets pp. 17-43

Raul Susmel and Andrew Thompson

Intraday futures volatility and theories of market behavior pp. 45-74

Robert T. Daigler

Linear dependence, nonlinear dependence and petroleum futures market efficiency pp. 75-99

Roger A. Fujihara and Mbodja Mougoue

Hedging ratios and cash/futures market linkages pp. 101-115

Michael Theobald and Peter Yallup

The rolling spot futures contract: An error correction model analysis pp. 117-128

Asim Ghosh and Claire G. Gilmore

Volume 16, issue 8, 1996

Interest‐rate option pricing revisited pp. 859-863

Craig Merrill and David Babbel

The Fed funds futures rate as a predictor of federal reserve policy pp. 865-879

Joel T. Krueger and Kenneth Kuttner

Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons pp. 881-897

Gordon Gemmill

Normal backwardation in short‐term interest rate futures markets pp. 899-913

Tim Krehbiel and Roger Collier

The predictive power of implied stochastic variance from currency options pp. 915-942

Dajiang Guo

Regulatory competition and the efficiency of alternative derivative product margining systems pp. 943-968

Paul Kupiec and A. Patricia White

Volume 16, issue 7, 1996

Time‐varying risk premia in the foreign currency futures basis pp. 735-755

Christopher Baum and John Barkoulas

Survivor bias in commodity trading advisor performance pp. 757-772

Thomas Schneeweis, Richard Spurgin and David McCarthy

The effect of the cointegration relationship on futures hedging: A note pp. 773-780

Da‐Hsiang Donald Lien

An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract pp. 781-808

Scott W. Barnhart, Kandice H. Kahl and Cora Moore Barnhart

Futures prices and the maturity effect pp. 809-828

Tina M. Galloway and Robert W. Kolb

Announcement versus nonannouncement: A study of intraday transaction price paths of Deutsche mark and Japanese yen futures pp. 829-857

Hsiaohua Leng

Volume 16, issue 6, 1996

S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula pp. 611-629

Charles Corrado and Tie Su

The systematic risk of futures contracts pp. 631-654

Robert W. Kolb

Storage profitability and hedge ratio estimation pp. 655-676

Sergio Lence, Marvin L. Hayenga and Michael D. Patterson

Market making with price limits pp. 677-696

Gregory J. Kuserk and Peter R. Locke

The demise of the high fructose corn syrup futures contract: A case study pp. 697-724

Sarahelen Thompson, Philip Garcia and Lynne Dallafior Wildman

Derivatives and futures bibliography pp. 725-733

Robert T. Daigler

Volume 16, issue 5, 1996

Do managed futures make good investments? pp. 475-517

Franklin R. Edwards and James M. Park

Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts pp. 519-543

Craig Pirrong

Recovering probabilistic information from option markets: Tests of distributional assumptions pp. 545-560

Bruce Sherrick, Philip Garcia and Viswanath Tirupattur

The role of futures trading activity in exchange rate volatility pp. 561-584

Arjun Chatrath, Sanjay Ramchander and Frank Song

A note on modified lattice approaches to option pricing pp. 585-594

Stephen A. Easton

Linkages between agricultural commodity futures contracts pp. 595-609

Anastasios Malliaris and Jorge L. Urrutia

Volume 16, issue 4, 1996

Trading costs and the relative rates of price discovery in stock, futures, and option markets pp. 353-387

Jeff Fleming, Barbara Ostdiek and Robert E. Whaley

Do systematic risk premiums persist in eurodollar futures prices? pp. 389-403

Tim Krehbiel and Lee Adkins

A further investigation of the lead‐lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France pp. 405-420

Gang Shyy, Vasumathi Vijayraghavan and Brian Scott‐Quinn

Ex ante basis risk in the live hog futures contract: Has hedgers' risk increased? pp. 421-440

Philip Garcia and Dwight R. Sanders

Optimum futures hedges with jump risk and stochastic basis pp. 441-458

Carolyn W. Chang, Jack S.K. Chang and Hsing Fang

Derivatives usage and interest rate risk of large banking firms pp. 459-474

Latha Shanker

Volume 16, issue 3, 1996

Efficient option‐implied volatility estimators pp. 247-272

Charles Corrado and Thomas W. Miller

Are hog and pig reports informative? pp. 273-287

Thomas L. Mann and Richard J. Dowen

An empirical test of the effect of basis risk on cash market positions pp. 289-311

Janet S. Netz

Detecting volatility changes across the oil sector pp. 313-330

Berry Wilson, Reena Aggarwal and Carla Inclan

Mean reversion of interest‐rate term premiums and profits from trading strategies with treasury futures spreads pp. 331-352

Tae H. Park and Lorne Switzer

Volume 16, issue 2, 1996

Macroeconomic news and the efficiency of international bond futures markets pp. 131-145

Kent G. Becker, Joseph E. Finnerty and Kenneth J. Kopecky

Intraday return dynamics between the cash and the futures markets in Japan pp. 147-162

Yoshio Iihara, Kiyoshi Kato and Toshifumi Tokunaga

A reexamination of portfolio insurance: The use of index put options pp. 163-188

Yisong Tian

An optimal price index for stock index futures contracts pp. 189-199

Jonathan Rougier

A graphical note on European put thetas pp. 201-209

Gordon Alexander and Michael Stutzer

Simple risk measures when hedging commodities using foreign markets: A note pp. 211-217

Frank S. Novak and Jim Unterschultz

On the conventional definition of currency hedge ratio pp. 219-226

Da‐Hsiang Donald Lien

The value of information in the presence of futures markets pp. 227-240

Eyal Sulganik and Itzhak Zilcha

Options bibliography pp. 241-245

Robert T. Daigler

Volume 16, issue 1, 1996

Energy shocks and financial markets pp. 1-27

Roger D. Huang, Ronald Masulis and Hans Stoll

The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk pp. 29-54

John Board and Charles Sutcliffe

Temporal relationships and dynamic interactions between spot and futures stock markets pp. 55-69

Gregory Koutmos and Michael Tucker

Put‐call parities and the value of early exercise for put options on a performance index pp. 71-80

Frans De Roon and Chris Veld

Price volatility and futures margins pp. 81-111

Gikas A. Hardouvelis and Dongcheol Kim

Options bibliography pp. 113-127

Robert T. Daigler