Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Hedge ratios and basis behavior: An intuitive insight? pp. 837-847: Carl E. Shafer
Robust live hog pricing strategies under uncertain prices and risk preferences pp. 849-864: Brian Adam, Philip Garcia and Robert J. Hauser
Memory in interest rate futures pp. 865-872: Hung‐Gay Fung and Wai‐Chung Lo
Impacts of shifts in uncertainty on spot and futures price change serial correlation and standardized covariation measures pp. 873-887: Dean Leistikow
A transactions data analysis of arbitrage between index options and index futures pp. 889-902: Jae Ha Lee and Nandkumar Nayar
An alternative formulation on the pricing of foreign currency options pp. 903-907: Raymond Chiang and John Okunev
Estimating multiperiod hedge ratios in cointegrated markets pp. 909-920: Donald Lien and Xiangdong Luo
An examination of cointegration relations between futures and local grain markets pp. 921-932: T. Randall Fortenbery and Hector O. Zapata
A cointegration test for oil futures market efficiency pp. 933-941: William Crowder and Anas Hamed
Futures bibliography pp. 943-945: Robert T. Daigler

Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach pp. 711-742: Mahmoud Wahab and Malek Lashgari
Hedging with stock index futures: Estimation and forecasting with error correction model pp. 743-752: Asim Ghosh
Cointegration tests of the unbiased expectations hypothesis in metals markets pp. 753-763: Tim Krehbiel and Lee Adkins
Reliability of soybean and corn option‐based probability assessments pp. 765-779: Elvira Maria de Sousa Silva and Kandice H. Kahl
An empirical examination of interest‐rate futures prices pp. 781-797: Andrew H. Chen, Marcia Millon Cornett and Prafulla G. Nabar
Investment performance of public commodity pools: 1979‐1990 pp. 799-820: Scott Irwin, Terry R. Krukemyer and Carl R. Zulauf
A theoretical comparison of composite index futures contracts pp. 821-836: Donald Lien and Xiangdong Luo

Export/Import risks at alternative stages of U.S. grain export trade pp. 579-595: Robert J. Hauser and David Neff
Utility maximizing hedge ratios in the extended mean gini framework pp. 597-609: Robert W. Kolb and John Okunev
An empirical analysis of risk premia in futures markets pp. 611-630: Hendrik Bessembinder
Forecasting S&P and gold futures prices: An application of neural networks pp. 631-643: Gary Grudnitski and Larry Osburn
Short sales restrictions and the temporal relationship between stock index cash and derivatives markets pp. 645-664: Vesa Puttonen
Estimating the extended mean‐gini coefficient for futures hedging pp. 665-676: Donald Lien and Xiangdong Luo
Futures margins and stock price volatility: Is there any link? pp. 677-691: Paul Kupiec
Delivery and manipulation in futures markets pp. 693-702: Paul Fackler
Futures bibliography pp. 703-709: Robert T. Daigler

Optimal hedging when preferences are state dependent pp. 441-451: Eric Briys and Harris Schlesinger
Seasonal effects in S&P 100 index option returns pp. 453-467: John S. Cotner and Nandkumar Nayar
How price discovery by futures impacts the cash market pp. 469-496: James T. Witherspoon
Feeder cattle cash settlement: Hedging risk reduction or illusion? pp. 497-514: Don R. Rich and Raymond M. Leuthold
Managing non‐parallel shift risk of yield curve with interest rate futures pp. 515-526: Sang Bin Lee and Seung Hyun Oh
Reducing the bias in empirical studies due to limit moves pp. 527-543: Kenneth H. Sutrick
Boundary conditions for index options: Evidence from the finnish market pp. 545-562: Vesa Puttonen
A modified lattice approach to option pricing pp. 563-577: Yisong Tian

State space modeling of price and volume dependence: Evidence from currency futures pp. 335-344: Joseph McCarthy and Mohammad Najand
Determinants of agricultural futures price volatilities: Evidence from winnipeg commodity exchange pp. 345-356: Nabil Khoury and Pierre Yourougou
Risk premia in the futures and forward markets pp. 357-371: Rick Cooper
Hedging and crop insurance pp. 373-388: Geoffrey Poitras
Prudential margin policy in a futures‐style settlement system pp. 389-408: George W. Fenn and Paul Kupiec
Scalper behavior in futures markets: An empirical examination pp. 409-431: Gregory J. Kuserk and Peter R. Locke
Futures bibliography pp. 433-440: Robert T. Daigler

A test of the intertemporal hedging model of the commodities futures markets pp. 223-236: Stacie E. Beck
Optimal hedging under indivisible choices pp. 237-259: Latha Shanker
Circuit breakers and stock market volatility pp. 261-277: G. J. Santoni and Tung Liu
The distribution of standardized futures price changes pp. 279-298: Meenakshi Venkateswaran, B Brorsen and Joyce A. Hall
Do the options markets really overreact? pp. 299-312: Fernando Diz and Thomas J. Finucane
A multinational examination of international equity and bond investment with currency hedging pp. 313-324: Mark Eaker, Dwight Grant and Nelson Woodard
European options on bond futures: A closed form solution pp. 325-333: David Feldman

The pricing relationship of eurodollar futures and eurodollar deposit rates pp. 115-126: Hung‐Gay Fung and Wai K. Leung
The impact of delivery options on futures prices: A survey pp. 127-155: Don Chance and Michael L. Hemler
The effects of USDA reports in futures and options markets pp. 157-173: T. Randall Fortenbery and Daniel Sumner
Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos? pp. 175-191: Seung‐Ryong Yang and B Brorsen
Cointegration and error correction models: Intertemporal causality between index and futures prices pp. 193-198: Asim Ghosh
An empirical evaluation of treasury‐bill futures market efficiency: Evidence from forecast efficiency tests pp. 199-211: S. Scott MacDonald and Scott Hein
Regulatory oversight and automated trading design: Elements of consideration pp. 213-222: Andrea M. Corcoran and John C. Lawton

Empirical tests of valuation models for options on t‐note and t‐bond futures pp. 1-13: Nusret Cakici, Sris Chatterjee and Avner Wolf
Pricing interest rate futures options with futures‐style margining pp. 15-22: Ren‐Raw Chen and Louis Scott
Averaging and deferred payment yield agreements pp. 23-41: Peter Ritchken and L. Sankarasubramanian
Efficient use of information, convergence adjustments, and regression estimates of hedge ratios pp. 43-53: P. V. Viswanath
Hedging risk on futures contracts under stochastic interest rates pp. 55-60: George M. Jabbour and J. Minor Sachlis
Putting on the crush: Day trading the soybean complex spread pp. 61-75: Dominic Rechner and Geoffrey Poitras
Arbitrage free pricing of interest rate futures and forward contracts pp. 77-91: Bjorn Flesaker
Equally open and competitive: Regulatory approval of automated trade execution in the futures markets pp. 93-113: Ian Domowitz