Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Inter‐currency transmission of volatility in Foreign exchange futures pp. 609-620: Mohammad Najand, Hamid Rahman and Kenneth Yung
Bid‐ask spreads in financial futures pp. 621-634: Paul A. Laux and A. J. Senchack
Do futures markets react efficiently to predictable errors in Government Announcements? pp. 635-643: David E. Runkle
The effect of futures trading on the stability of standard and poor 500 returns pp. 645-658: Avraham Kamara, Thomas W. Miller and Andrew F. Siegel
Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time? pp. 659-677: Ravi Vaidyanathan and Tim Krehbiel
Memories, heteroscedasticity, and price limit in Currency futures markets pp. 679-692: G. Wenchi Kao and Christopher K. Ma
Optimal hedging with futures contracts: The case for fixed‐income portfolios pp. 693-703: Eric Briys and Dan Pieptea
Variability in soybean futures prices: An integrated framework pp. 705-728: Deborah H. Streeter and William G. Tomek

Stock index futures listing and structural change in time‐varying volatility pp. 493-509: Sang Bin Lee and Ki Yool Ohk
Hedging with synthetics, foreign‐exchange forwards, and the export decision pp. 511-517: Udo F. Broil and Jack E. Wahl
Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets pp. 519-538: Christopher K. Ma, Richard L. Peterson and R. Stephen Sears
A new look at interest rate futures contracts pp. 539-548: Ren‐Raw Chen
Optimal weights and international portfolio hedging with U.S. dollar index futures: An empirical investigation pp. 549-562: Steven Krull and Anoop Rai
The behavior of oil futures returns around OPEC conferences pp. 563-574: Richard Deaves and Itzhak Krinsky
Impact of the price adjustment process and trading noise on return patterns of grain futures pp. 575-585: Shi‐Miin Liu, Sarahelen Thompson and Paul Newbold
A note on the effect of no‐arbitrage conditions pp. 587-593: Da‐Hsiang Donald Lien
The informational role of end‐of‐the‐day returns in stock index futures pp. 595-601: Anthony F. Herbst and Edwin Maberly
Futures Bibliography pp. 603-607: Robert T. Daigler

Intraday patterns in the S&P 500 index futures market pp. 365-381: Peter D. Ekman
The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures pp. 383-409: Gregory J. Kuserk, Peter R. Locke and Chera L. Sayers
A multiperiod model for the selection of a futures portfolio pp. 411-428: John F. Marshall and Anthony F. Herbst
Dependence in commodity prices pp. 429-446: Richard L. Peterson, Christopher K. Ma and Robert J. Ritchey
A note on constructing spot price indices to approximate futures prices pp. 447-457: John Cita and Donald Lien
The theoretical source of autocorrelation in forward and futures price relationships pp. 459-473: Michael A. Polakoff and Fernando Diz
Futures prices are not stable‐paretian distributed pp. 475-487: Donald W. Gribbin, Randy W. Harris and Hon‐Shiang Lau
Futures bibliography pp. 489-490: Robert T. Daigler

Robustness results for regression hedge ratios: Futures contracts with multiple deliverable grades pp. 253-263: P. V. Viswanath and Sris Chatterjee
Estimating the volatility of S&P 500 futures prices using the extreme‐value method pp. 265-273: James B. Wiggins
Option‐based evidence of the nonstationarity of expected S&P 500 futures price distributions pp. 275-290: Bruce Sherrick, Scott Irwin and D. Lynn Forster
Evidence of chaos in commodity futures prices pp. 291-305: Gregory P. Decoster, Walter C. Labys and Douglas W. Mitchell
Hedging with forecasting: A state—space approach to modeling vector‐valued time series pp. 307-327: Tomislav Vukina
A reexamination of the systematic downward bias in live cattle futures prices pp. 329-338: Emmett Elam and Chaw Wayoopagtr
Constructing accurate cash settlement indices: The role of index specifications pp. 339-360: John Cita and Donald Lien
Limit moves and price resolution: A reply pp. 361-363: Christopher K. Ma, Ramesh Rao and R. Stephen Sears

Dividends and S&P 100 index option valuation pp. 123-137: Campbell Harvey and Robert E. Whaley
Two‐step testing procedure for price discovery role of futures prices pp. 139-149: Jing Quan
Arbitrage and price behavior of the Nikkei stock index futures pp. 151-161: Kian‐Guan Lim
Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges pp. 163-175: Bruce A. Benet
An empirical evaluation of the extended mean‐gini coefficient for futures hedging pp. 177-186: Robert W. Kolb and John Okunev
Hedge effectiveness: Basis risk and minimum‐variance hedging pp. 187-201: Mark G. Castelino
Rolling over futures contracts: A note pp. 203-217: Christopher K. Ma, Jeffrey M. Mercer and Matthew A. Walker
Ex‐ante hedging strategy selection using foreign‐exchange‐rate forecasting models pp. 219-236: Jerry A. Hammer
Effect of institutional realities on dynamic hedging performance for a Grain producer pp. 237-251: Steve Martinez and Kelly Zering

The profitability of volatility spreads around information releases pp. 1-9: Margaret A. Monroe
The significance of hedging capital requirements pp. 11-18: Steven Blank
Application of mean‐variance analysis to broad‐based futures contracts pp. 19-32: Da‐Hsiang Donald Lien
Minimum variance hedge ratios for stock index futures: Duration and expiration effects pp. 33-53: Mary Lindahl
Hedge ratios under inherent risk reduction in a commodity complex: An interpretation pp. 55-59: Jacques A. Schnabel
Supplementary information and markov processes in Soybean futures trading pp. 61-74: Steven C. Turner, Jack E. Houston and Tommie L. Shepherd
Is normal backwardation normal? pp. 75-91: Robert W. Kolb
A redetermination of hedging strategies using foreign currency futures contracts and forward markets pp. 93-104: A. F. Herbst, P. E. Swanson and S. C. Caples
Optimal futures positions for life insurance companies pp. 105-115: Hamid Rahman and Mohammad Najand
Futures Bibliography pp. 117-121: Robert T. Daigler