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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 7, issue 6, 1987

The use of crude oil futures by the governments of oil‐producing states pp. 603-617 Downloads
James A. Overdahl
Alternative instruments for hedging inflation risk in the banking industry pp. 619-636 Downloads
G. D. Koppenhaver and Cheng F. Lee
The inventory effect in commodity futures markets: An empirical study pp. 637-652 Downloads
Da‐Hsiang Donald Lien
Risk premiums in financial futures markets: The case of treasury bond futures pp. 653-662 Downloads
Mark S. Rzepczynski
Measuring hedging effectiveness in a traditional one‐periodic portfolio framework pp. 663-674 Downloads
Øystein Gjerde
Hedging mortgage‐backed securities with treasury bond futures pp. 675-693 Downloads
Carl A. Batlin
Empirical tests of the efficiency of the currency futures options market pp. 695-703 Downloads
Joseph P. Ogden and Alan L. Tucker
Are petroleum futures prices good predictors of cash value? pp. 705-719 Downloads
Anthony E. Bopp and Scott Sitzer
Futures bibliography pp. 721-726 Downloads
Robert T. Daigler

Volume 7, issue 5, 1987

Hedging dividend capture strategies with stock index futures pp. 471-481 Downloads
David A. Dubofsky
Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects pp. 483-496 Downloads
John J. Merrick
An analysis of trading and nontrading period returns for the value line composite index; spot versus futures: A note pp. 497-500 Downloads
Edwin Maberly
Oil prices and energy futures pp. 501-518 Downloads
K. C. Chen, R. Stephen Sears and Dah‐Nein Tzang
Hedging australian wheat exports using futures markets pp. 519-533 Downloads
Terence C. Sheales and William G. Tomek
Transactions data tests of the black model for soybean futures options pp. 535-554 Downloads
James V. Jordan, William E. Seale, Nancy C. McCabe and David E. Kenyon
Chernobyl, commodities, and chaos: An examination of the reaction of commodity futures prices to evolving information pp. 555-569 Downloads
Stephen Pruitt, Wuttipan Tawarangkoon and K. C. John Wei
The effects of USDA crop announcements on commodity prices pp. 571-589 Downloads
Nikolaos Milonas
A note on the factors affecting technical trading system returns pp. 591-595 Downloads
Scott Irwin and B Brorsen
Futures bibliography pp. 597-601 Downloads
Robert T. Daigler

Volume 7, issue 4, 1987

The municipal‐treasury futures spread pp. 355-371 Downloads
Marcelle Arak, Raj Daryanani, Philip Fischer and Laurie Goodman
Investigation of a lead‐lag relationship between spot stock indices and their futures contracts pp. 373-381 Downloads
Anthony F. Herbst, Joseph P. McCormack and Elizabeth N. West
Futures, spots, stocks and bonds: Multi‐asset portfolio analysis pp. 383-395 Downloads
Haim Levy
“Golden turtle tracks”: In search of unexploited profits in gold spreads pp. 397-412 Downloads
Geoffrey Poitras
An analysis of cash and futures prices in the delivery period of maturing contracts in the coffee “c” market, 1972–1981 pp. 413-441 Downloads
Frieda W. Shaviro
A portfolio approach to optimal hedging for a commercial cattle feedlot pp. 443-457 Downloads
Paul E. Peterson and Raymond M. Leuthold
Broker—customer arbitration: An attractive alternative to litigation pp. 459-460 Downloads
Frederick L. White and William L. Stein
Futures bibliography pp. 461-468 Downloads
Robert T. Daigler

Volume 7, issue 3, 1987

Determinants of trading volume in futures markets pp. 233-244 Downloads
Terrence F. Martell and Avner S. Wolf
The efficiency of foreign exchange futures markets in turbulent and non‐turbulent periods pp. 245-267 Downloads
Debra Glassman
Treasury bond futures: Valuing the delivery options pp. 269-286 Downloads
Marcelle Arak and Laurie S. Goodman
Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle pp. 287-301 Downloads
Michael A. Hudson, Raymond M. Leuthold and Gboroton F. Sarassoro
The effect of coupon level on treasury bond futures delivery pp. 303-309 Downloads
Miles Livingston
Commodity futures risk premium and unstable systematic risk pp. 311-326 Downloads
Jacky C. So
A note: Debunking the myth of the risk‐free return pp. 327-331 Downloads
Ira G. Kawaller
A note on volatility and pricing of futures options during choppy markets pp. 333-337 Downloads
Robert I. Webb
Book review pp. 339-340 Downloads
Perry J. Kaufman
New off‐exchange futures‐related instruments: Modern day “bucket shops” or legitimate products pp. 341-344 Downloads
Frederick L. White and William L. Stein
Futures bibliography pp. 345-350 Downloads
Robert T. Daigler

Volume 7, issue 2, 1987

A portfolio approach to optimal hedging for a commercial cattle feedlot pp. 119-133 Downloads
Raymond M. Leuthold and Paul E. Peterson
Comparison of analytical approaches for estimating hedge ratios for agricultural commodities pp. 135-146 Downloads
Harvey J. Witt, Ted Schroeder and Marvin L. Hayenga
Hedging mispriced options pp. 147-156 Downloads
Avner Wolf, Mark Castelino and Jack Clark Francis
Stock effects and seasonality in the fcoj futures basis pp. 157-167 Downloads
William M. Malick and Ronald W. Ward
An investigation into seasonality in the futures market pp. 169-181 Downloads
Gerald D. Gay and Tae‐Hyuk Kim
Analysis of profit margin hedging strategies for hog producers pp. 183-202 Downloads
David Kenyon and John Clay
Futures trading and oil market conditions pp. 203-221 Downloads
Douglas R. Bohi and Michael Toman
Futures bibliography pp. 223-229 Downloads
Robert T. Daigler

Volume 7, issue 1, 1987

Systematic risk, dividend yield and the hedging performance of stock index futures pp. 1-13 Downloads
Robert Jennings and David Graham
Marking‐to‐market, stochastic interest rates and discounts on stock index futures pp. 15-20 Downloads
Jack S. K. Chang and Jean C. H. Loo
An application of arbitrage pricing theory to futures markets: Tests of normal backwardation pp. 21-34 Downloads
Michael C. Ehrhardt, James V. Jordan and Ralph A. Walkling
Hedging interest rate risk in banking pp. 35-47 Downloads
David R. Goldfarb
Option expirations and treasury bond futures prices pp. 49-64 Downloads
Anand K. Bhattacharya
Application of a simplified hedging rule pp. 65-72 Downloads
Gary E. Bond, Stanley Thompson and Benny M. S. Lee
Factors affecting agricultural futures price variance pp. 73-91 Downloads
David Kenyon, Kenneth Kling, Jim Jordan, William Seale and Nancy McCabe
Funds protections: An overview of what happens when a commodity broker becomes insolvent pp. 93-101 Downloads
William F. Tueting and Christopher Q. King
Stable distributions, futures prices, and the measurement of trading performance: A reply pp. 103-107 Downloads
J. Austin Murphy
Legal and regulatory developments. The exchange‐trading requirement of the commodity exchange act pp. 109-110 Downloads
Frederick L. White
Futures bibliography pp. 111-113 Downloads
Robert T. Daigler
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