Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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The behavior of “false” futures prices pp. 651-668: Robert I. Webb
Dynamic efficiency and price leadership in stock index cash and futures markets pp. 669-683: Thomas V. Schwarz and Francis E. Laatsch
Price discovery and cointegration for live hogs pp. 685-696: Ted Schroeder and Barry Goodwin
Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation pp. 697-710: Charles T. Howard and Louis J. D'Antonio
“Chaos” in futures markets? A nonlinear dynamical analysis pp. 711-728: Steven Blank
An empirical test for parities between metal prices at the LME pp. 729-736: Philip Hans Franses and Paul Kofman
Price‐risk management with options: Optimal market positions and institutional value pp. 737-750: George W. Ladd and Steven D. Hanson
An alternative methodology for measuring expiration day price effects at Friday's close: The expected price reversal—A note pp. 751-754: Anthony F. Herbst and Edwin Maberly
Futures bibliography pp. 755-761: Robert T. Daigler

Dual trading and futures market liquidity: An analysis of three chicago board of trade contract markets pp. 519-537: Michael J. Walsh and Stephen J. Dinehart
Prospects for hedging federal farm program budgetary risks pp. 539-555: Richard G. Heifner, Bruce H. Wright and Lynn J. Maish
Long hedgers and multiple delivery specifications on futures contracts pp. 557-565: Da‐Hsiang Donald Lien
A cointegration test for market efficiency pp. 567-575: Kon S. Lai and Michael Lai
Futures market efficiency: Evidence from cointegration tests pp. 577-589: Abdur R. Chowdhury
Do treasury bill futures rates satisfy rational expectation properties? pp. 591-601: C. Steven Cole, Michael Impson and William Reichenstein
Estimation of the optimal hedge ratio, expected utility, and ordinary least squares regression pp. 603-612: John Heaney and Geoffrey Poitras
A GARCH examination of the relationship between volume and price variability in futures markets pp. 613-621: Mohammad Majand and Kenneth Yung
Equilibrium treasury bond futures pricing in the presence of implicit delivery options pp. 623-645: Gerald D. Gay and Steven Manaster
The relationship between stock indices and stock index futures from 3:00 to 3:15: A clarification pp. 647-649: Thomas V. Schwarz

Risk‐return hedging effectiveness measures for stock index futures pp. 399-409: Mary Lindahl
Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration pp. 411-440: Robert Brooks
Pricing stock index futures with stochastic interest rates pp. 441-452: Nusret Cakici and Sris Chatterjee
Determining the relevant fair value(s) of S&P 500 futures: A case study approach pp. 453-460: Ira G. Kawaller
Cointegration: Some results on U.S. cattle prices pp. 461-474: David Bessler and Ted Covey
Alternative commodity trading vehicles: A performance analysis pp. 475-490: Thomas Schneeweis, Uttama Savanayana and David McCarthy
An empirical analysis of thrift futures market activity pp. 491-503: J. Austin Murphy
Futures bibliography pp. 505-517: Robert T. Daigler

Portfolio analysis of stocks, bonds, and managed futures using compromise stochastic dominance pp. 259-270: Daniel Fischmar and Carl Peters
The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures pp. 271-289: Anastasios Malliaris and Jorge L. Urrutia
The intraday ex post and ex ante profitability of index arbitrage pp. 291-311: Robert C. Klemkosky and Jae Ha Lee
A note on the effects of the initiation of major market index futures on the daily returns of the component stocks pp. 313-317: Francis E. Laatsch
Futures option expirations and volatility in the stock index futures market pp. 319-330: G. D. Hancock
Measuring seasonalities in commodity markets and the half‐month effect pp. 331-345: Nikolaos Milonas
Hedging strategies for exports of cereals and cereal products to the European community pp. 347-369: Francesco S. Braga and Larry J. Martin
Reduction in hedging risk from adjusting for autocorrelation in the residuals of a price level regression pp. 371-384: Emmett Elam
Cold fusion—hot metal: An analysis of the metals futures market reactions to the cold fusion announcement pp. 385-397: Stephen R. Hill, Norman H. Moore and Stephen Pruitt

The effects of regulations on trading activity and return volatility in futures markets pp. 135-151: Stanley R. Pliska and Catherine T. Shalen
Futures trading, transaction costs, and stock market volatility pp. 153-163: B Brorsen
Risk premia and price volatility in futures markets pp. 165-177: Jisoo Yoo and G. S. Maddala
A test of two models in forecasting stock index futures price volatility pp. 179-190: W. L. Randolph and Mohammad Najand
Stock price volatility: Some evidence from an ARCH model pp. 191-200: Brad Baldauf and G. J. Santoni
Tailing the hedge: Why and how pp. 201-212: Stephen Figlewski, Yoram Landskroner and William L. Silber
Margin requirements and the demand for futures contracts pp. 213-237: L. Kalavathi and Latha Shanker
Testing index futures market efficiency using price differences: A critical analysis pp. 239-252: Pradeep K. Yadav and Peter F. Pope
The January effect, arbitrage opportunities, and derivative securities: Has anything changed? pp. 253-257: Edwin Maberly and Brian A. Maris

Index option pricing: Do investors pay for skewness? pp. 1-8: John S. Cotner
Systematic skewness in futures contracts pp. 9-24: Joan C. Junkus
The soybean complex spread: An examination of market efficiency from the viewpoint of a production process pp. 25-37: Robert L. Johnson, Carl R. Zulauf, Scott Irwin and Mary E. Gerlow
Estimating time‐varying optimal hedge ratios on futures markets pp. 39-53: Robert J. Myers
Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies pp. 55-68: Anastasios Malliaris and Jorge Urrutia
The informational content of the basis: Evidence from Canadian barley, oats, and canola futures markets pp. 69-80: Nabil T. Khoury and Pierre Yourougou
Evidence for a weather persistence effect on the corn, wheat, and soybean growing season price dynamics pp. 81-88: Stanley C. Stevens
Pricing cross‐currency options pp. 89-93: John Rumsey
Index futures, program trading, and the covariability of the major market index stocks pp. 95-111: John D. Martin and A. J. Senchack
The relationship between forward and futures contracts: A comment pp. 113-115: Bjorn Flesaker
A note on the role of futures indivisibility: Reconciling the theoretical literature pp. 117-120: Michael A. Polakoff
Futures bibliography pp. 121-133: Robert T. Daigler