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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 9, issue 6, 1989

Insuring banks against systematic credit risk pp. 487-505 Downloads
David Babbel
Nonlinearities and chaotic effects in options prices pp. 507-518 Downloads
Robert Savit
Frequency and duration of profitable hedging margins for texas cotton producers, 1980–1986 pp. 519-528 Downloads
Wendell C. Wood, Carl E. Shafer and Carl G. Anderson
Hedging in the treasury bill futures market when the hedged instrument and the deliverable instrument are not matched pp. 529-537 Downloads
George M. McCabe and Donald P. Solberg
Yield opportunities and hedge ratio considerations with fixed income cash‐and‐carry trades pp. 539-545 Downloads
Ira G. Kawaller and Timothy W. Koch
Production and hedging decisions in the presence of basis risk pp. 547-563 Downloads
Jacob Paroush and Avner Wolf
Gambler's ruin and optimal stop loss strategy pp. 565-571 Downloads
Gang Shyy
A supply of storage theory with asymmetric information pp. 573-581 Downloads
Nabil T. Khoury and Jean‐Marc Martel
Sampled data as a basis of cash settlement price pp. 583-588 Downloads
Da‐Hsiang Donald Lien

Volume 9, issue 5, 1989

An empirical investigation of the early exercise premium of foreign currency options pp. 365-375 Downloads
Philippe Jorion and Neal M. Stoughton
Price discovery and hedging in the sunflower market pp. 377-391 Downloads
William Wilson
Forecasting efficiency of energy futures prices pp. 393-419 Downloads
Cindy W. Ma
On the value of the implicit delivery options pp. 421-437 Downloads
Shantaram P. Hegde
Configurations for arbitrage using financial futures contracts pp. 439-448 Downloads
Adrian S. Yano
An analysis of index option pricing pp. 449-459 Downloads
John S. Cotner and James F. Horrell
Exchange memberships: An overview of the issues pertaining to the property rights of a bankrupt member and his creditors pp. 461-467 Downloads
James J. Moylan, Laren A. Ukman and Peter S. Lake
Measuring hedging effectiveness with R-super-2: A note pp. 469-475 Downloads
Mary Lindahl

Volume 9, issue 4, 1989

The live cattle futures market and daily cash price movements pp. 273-282 Downloads
B Brorsen, Charles M. Oellermann and Paul L. Farris
The market for japanese stock index futures: Some preliminary evidence pp. 283-295 Downloads
Warren Bailey
Evidence on the effect of information and noise trading on intraday gold futures returns pp. 297-305 Downloads
Beni Lauterbach and Margaret Monroe
Performance of estimated hedging ratios under yield uncertainty pp. 307-319 Downloads
Stephen E. Miller and Kandice H. Kahl
Limit moves and price resolution: The case of the treasury bond futures market pp. 321-335 Downloads
Christopher K. Ma, Ramesh Rao and R. Stephen Sears
Effects of expected cash and futures prices on hedging and production: Comments and extensions pp. 337-345 Downloads
Ardeshir J. Dalal and Bala G. Arshanapalli
Arbitrage opportunities between thin and liquid futures markets pp. 347-353 Downloads
Colin Carter
Optical settlement specification on futures contracts pp. 355-358 Downloads
Da‐Hsiang Donald Lien

Volume 9, issue 3, 1989

Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures pp. 185-197 Downloads
A. F. Herbst, D. D. Kare and S. C. Caples
Memory and equilibrium futures prices pp. 199-213 Downloads
David H. Goldenberg
The optimal maturity of hedges and participation of hedgers in futures and forward markets pp. 215-224 Downloads
C. T. Shalen
Liquidity costs and scalping returns in the corn futures market pp. 225-236 Downloads
B Brorsen
Cash settlement issues for live cattle futures contracts pp. 237-248 Downloads
Kandice H. Kahl, Michael A. Hudson and Clement E. Ward
Futures rates and forward rates as predictors of near‐term treasury bill rates pp. 249-262 Downloads
S. Scott MacDonald and Scott Hein
Cash settlement provisions on futures contracts pp. 263-270 Downloads
Da‐Hsiang Donald Lien
The relationship between stock indices and stock index futures from 3:00–3:15: A note pp. 271-272 Downloads
Edwin Maberly

Volume 9, issue 2, 1989

Cross hedging the Italian Lira/US dollar exchange rate with deutsch mark futures pp. 87-99 Downloads
Francesco S. Braga, Larry J. Martin and Karl Meilke
Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects pp. 101-111 Downloads
John J. Merrick
Price discovery for feeder cattle pp. 113-121 Downloads
Charles M. Oellermann, B Brorsen and Paul L. Farris
Optimal futures spread positions pp. 123-133 Downloads
Geoffrey Poitras
Determinants of an individual's demand for hedging instruments pp. 135-141 Downloads
Rafael Eldor, David Pines and Abba Schwartz
Investment decision making with index futures and index futures options pp. 143-162 Downloads
Robert Brooks
Optimal hedging and spreading on wheat futures markets pp. 163-170 Downloads
Da‐Hsiang Donald Lien
A note on the relationship between forward and futures contracts pp. 171-173 Downloads
Azriel Levy
The daily effect in the gold market: A reply pp. 175-177 Downloads
Christopher K. Ma, G. Wenchi Wong and Edwin Maberly

Volume 9, issue 1, 1989

A theory of negative prices for storage pp. 1-13 Downloads
Brian Wright and Jeffrey C. Williams
Complex hedges: How well do they work? pp. 15-27 Downloads
Dwight Grant and Mark Eaker
Hedging canadian corporate debt: A comparative study of the hedging effectiveness of Canadian and U.S. bond futures pp. 29-39 Downloads
Louis Gagnon, Samuel Mensah and Edward H. Blinder
Pricing and hedging capped options pp. 41-54 Downloads
Phelim P. Boyle and Stuart M. Turnbull
The usefulness of historical data in selecting parameters for technical trading systems pp. 55-65 Downloads
Louis P. Lukac and B Brorsen
Optimal cross‐hedge portfolios for hedging stock index options pp. 67-75 Downloads
Michael J. Alderson and Terry L. Zivney
An analysis of intra‐market spreads in heating oil futures pp. 77-86 Downloads
Peter A. Abken
An analysis of intra‐market spreads in heating oil futures pp. 77-86 Downloads
Peter A. Abken
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