Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 41, issue 12, 2021

One hundred years of rare disaster concerns and commodity prices pp. 1891-1915

Qunzi Zhang

Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning pp. 1916-1932

Geon Ho Choe and Minseok Kim

Realized bipower variation, jump components, and option valuation pp. 1933-1958

Zhiyuan Pan, Yudong Wang and Li Liu

Volatility spillovers in commodity futures markets: A network approach pp. 1959-1987

Jian Yang, Zheng Li and Hong Miao

Financialization, common stochastic trends, and commodity prices pp. 1988-2008

Moses M. Kupabado and Juergen Kaehler

Fundamental questions on central counterparties: A review of the literature pp. 2009-2022

Ron Berndsen

Generalized autoregressive score model with high‐frequency data for optimal futures hedging pp. 2023-2045

Yu‐Sheng Lai

The real effect of foreign exchange hedging on corporate innovation pp. 2046-2078

Chongwu Xia, Chuyi Yang and Lei Zhang

A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs” pp. 2079-2082

Peter Miu and Meng‐Lan Yueh

Comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk and transaction costs” by Peter Miu and Meng‐Lan Yueh: Reply pp. 2083-2084

Jieye Qin, Christopher J. Green and Kavita Sirichand

Volume 41, issue 11, 2021

Single stock futures and their impact on market quality: Be careful what you wish for pp. 1677-1692

Edward Curran, Jack Hunt and Vito Mollica

Regional premiums in nonferrous metals markets pp. 1693-1714

Christopher L. Gilbert

When two worlds collide: Using particle physics tools to visualize the limit order book pp. 1715-1734

Marjolein E. Verhulst, Philippe Debie, Stephan Hageboeck, Joost M. E. Pennings, Cornelis Gardebroek, Axel Naumann, Paul van Leeuwen, Andres A. Trujillo‐Barrera and Lorenzo Moneta

Do economic variables forecast commodity futures volatility? pp. 1735-1774

Loïc Maréchal

The opportunity cost of hedging under incomplete information: Evidence from ETF/Ns pp. 1775-1796

Zhenyu Cui and Majeed Simaan

Estimating real‐world probabilities: A forward‐looking behavioral framework pp. 1797-1823

Ricardo Crisóstomo

Estimating risk‐neutral freight rate dynamics: A nonparametric approach pp. 1824-1842

Lourdes Gómez‐Valle, Ioannis Kyriakou, Julia Martínez‐Rodríguez and Nikos K. Nomikos

Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate pp. 1843-1860

Yanping Zhao, Zaghum Umar and Xuan Vinh Vo

The lead of oil price rises on US equity market beliefs and preferences pp. 1861-1887

Jonathan Dark

Volume 41, issue 10, 2021

Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market pp. 1498-1519

Sobhesh Kumar Agarwalla, Jayanth Varma and Vineet Virmani

Dynamic term structure models for SOFR futures pp. 1520-1544

Jacob Bjerre Skov and David Skovmand

Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock pp. 1545-1568

Kyong S. Eom, Kyung Y. Kwon and Jong‐Ho Park

Stock market tail risk, tail risk premia, and return predictability pp. 1569-1596

Sangwon Suh, Eungyu Yoo and Sun‐Joong Yoon

The dynamics of commodity return comovements pp. 1597-1617

Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann

Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility pp. 1618-1639

Dimos S. Kambouroudis, David G. McMillan and Katerina Tsakou

Discrete variance swap in a rough volatility economy pp. 1640-1654

Yiru Xi and Hoi Ying Wong

The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets pp. 1655-1673

Haiying Wang, Ying Yuan and Tianyang Wang

Volume 41, issue 9, 2021

Oil price analysts' forecasts pp. 1351-1374

Isabel Figuerola‐Ferretti, Alejandro Rodríguez and Eduardo Schwartz

Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets pp. 1375-1396

Tangyong Liu, Xu Gong and Boqiang Lin

Improving liquidity in emission trading schemes pp. 1397-1411

Jihun Kim and Kwangwoo Park

Investor sentiment and the market reaction to macroeconomic news pp. 1412-1426

Chen Gu, Denghui Chen and Raluca Stan

Investor sentiment, misreaction, and the skewness‐return relationship pp. 1427-1455

Chin‐Ho Chen

Specification analysis of VXX option pricing models under Lévy processes pp. 1456-1477

Jiling Cao, Xinfeng Ruan, Shu Su and Wenjun Zhang

Fractional cointegration in bitcoin spot and futures markets pp. 1478-1494

Jinghong Wu, Ke Xu, Xinwei Zheng and Jian Chen

Volume 41, issue 8, 2021

Editor's Note pp. 1179-1179

Robert I. Webb

Pricing VIX options with realized volatility pp. 1180-1200

Chen Tong and Zhuo Huang

Jumps in foreign exchange spot rates and the informational efficiency of currency forwards pp. 1201-1219

Gbenga Ibikunle, Vito Mollica and Qiao Sun

Smile‐implied hedging with volatility risk pp. 1220-1240

Pascal François and Lars Stentoft

Intermediary asset pricing in currency carry trade returns pp. 1241-1267

Libo Yin and Jing Nie

How does skewness perform in the Chinese commodity futures market? pp. 1268-1285

Xue Jiang, Liyan Han and Yang Xu

The pricing mechanism between ETF option and spot markets in China pp. 1286-1300

Da Dong, Qingfu Liu, Pingping Tao and Zhiliang Ying

The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth pp. 1301-1314

Alex Frino, Dionigi Gerace and Masud Behnia

Effects of investor attention in China's commodity futures markets pp. 1315-1332

Ming‐Hung Wu, Wei‐Che Tsai, Pei‐Shih Weng and Dan‐Yi Li

How trading in commodity futures option markets impacts commodity futures prices pp. 1333-1347

Xingguo Luo, Yuting Lin, Xiaoli Yu and Feng He

Volume 41, issue 7, 2021

Kelly trading and option pricing pp. 987-1006

Hans‐Peter Bermin and Magnus Holm

Valuation of bitcoin options pp. 1007-1026

Melanie Cao and Batur Celik

Forty years of the Journal of Futures Markets: A bibliometric overview pp. 1027-1054

H. Kent Baker, Satish Kumar and Nitesh Pandey

Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market pp. 1055-1073

Bin Wu, Pengzhan Chen and Wuyi Ye

Pricing and calibration of the futures options market: A unified approximation pp. 1074-1091

Xiaotong Lian and Yingda Song

Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund? pp. 1092-1123

Sanjay Sehgal, Neharika Sobti and Florent Diesting

Effects of structural changes on the prediction of downside volatility in futures markets pp. 1124-1153

Xu Gong and Boqiang Lin

Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options pp. 1154-1176

Sol Kim

Volume 41, issue 6, 2021

VIX term structure: The role of jump propagation risks pp. 785-810

Xinglin Yang and Ji Chen

New evidence on commodity stocks pp. 811-874

Charoula Daskalaki

When it pays to follow the crowd: Strategy conformity and CTA performance pp. 875-894

Nicolas P. B. Bollen, Mark C. Hutchinson and John O'Brien

Time‐varying dynamics of expected shortfall in commodity futures markets pp. 895-925

Julia S. Mehlitz and Benjamin R. Auer

Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures pp. 926-948

Yu‐Lun Chen, Yen‐Hsien Lee, Robin K. Chou and Ya‐Kai Chang

Efficiency in the Atlantic salmon futures market pp. 949-984

Bendik P. Andersen and Petter E. de Lange

Volume 41, issue 5, 2021

Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility pp. 559-576

Jaegi Jeon, Geonwoo Kim and Jeonggyu Huh

Intermediary capital risk and commodity futures volatility pp. 577-640

Libo Yin, Jing Nie and Liyan Han

Credit risk in derivative securities: A simplified approach pp. 641-657

Rainer Baule

Informed options trading around holidays pp. 658-685

Doojin Ryu and Jinyoung Yu

Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank pp. 686-709

Raymond Kim

On the computation of hedging strategies in affine GARCH models pp. 710-735

Maciej Augustyniak and Alexandru Badescu

Determinants of the WTI‐Brent price spread revisited pp. 736-757

Jerome Geyer‐Klingeberg and Andreas W. Rathgeber

Managing volatility in commodity momentum pp. 758-782

Qi Xu and Ying Wang

Volume 41, issue 4, 2021

The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps pp. 439-457

Xiaoyu Tan, Chengxiang Wang, Wei Lin, Jin E. Zhang, Shenghong Li, Xuejun Zhao and Zili Zhang

A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps pp. 458-477

Fangsheng Yin, Yang Bian and Tianyi Wang

Off‐market block trades: New evidence on transparency and information efficiency pp. 478-492

Alex Frino

Quantile information share under Markov regime‐switching pp. 493-513

Donald Lien, Ziling Wang and Xiaojian Yu

American option pricing: Optimal Lattice models and multidimensional efficiency tests pp. 514-535

Qianru Shang and Brian Byrne

Price discovery in chinese agricultural futures markets: A comprehensive look pp. 536-555

Jian Yang, Zheng Li and Tao Wang

Erratum to “An analytical perturbative solution to the Merton Garman model using symmetries” pp. 556-556

Xavier Calmet and Nathaniel Wiesendanger Shaw

Volume 41, issue 3, 2021

Editor's Note pp. 289-289

Robert I. Webb

Semivariance and semiskew risk premiums in currency markets pp. 290-324

José Da Fonseca and Edem Dawui

Do put warrants unwind short‐sale restrictions? Further evidence from the Taiwan Stock Exchange pp. 325-348

Yi‐Wei Chuang, Wei-Che Tsai, Pei‐Shih Weng and Chi Yin

Estimation of stochastic volatility and option prices pp. 349-360

Suk Joon Byun, Jung‐Soon Hyun and Woon Jun Sung

Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry pp. 361-383

Sanghak Choi, Hyeonung Jang, Daejin Kim and Byoung Ki Seo

Hedging operating and financing risk with financial derivatives during the global financial crisis pp. 384-405

Sung C. Bae and Taek Ho Kwon

The traders' rule and long‐term options pp. 406-436

Sol Kim and In Jung Song

Volume 41, issue 2, 2021

Volatility‐managed commodity futures portfolios pp. 159-178

Jangkoo Kang and Kyung Yoon Kwon

Stock market reactions to different types of oil shocks: Evidence from China pp. 179-193

Jin Boon Wong

Bitcoin spot and futures market microstructure pp. 194-225

Saketh Aleti and Bruce Mizrach

Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896 pp. 226-244

Martin T. Bohl, Alexander Pütz, Pierre Siklos and Christoph Sulewski

Volatility‐of‐volatility risk in the crude oil market pp. 245-265

Tai‐Yong Roh, Alireza Tourani‐Rad, Yahua Xu and Yang Zhao

Optimal portfolio allocation using option‐implied information pp. 266-285

Maria Kyriacou, Jose Olmo and Marius Strittmatter

Volume 41, issue 1, 2021

The Chinese warrant bubble: A fundamental analysis pp. 3-26

Yintian Wang, Guofu Zhou and Yingzi Zhu

The impact of net buying pressure on index options prices pp. 27-45

Doojin Ryu, Doowon Ryu and Heejin Yang

Forecasting equity returns: The role of commodity futures along the supply chain pp. 46-71

Chenchen Li, Chongfeng Wu and Chunyang Zhou

The implied volatility smirk of commodity options pp. 72-104

Xiaolan Jia, Xinfeng Ruan and Jin E. Zhang

The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets pp. 105-114

Takahiro Hattori and Ryo Ishida

Impact of bitcoin futures on the informational efficiency of bitcoin spot market pp. 115-134

Andrei Shynkevich

VIX futures and its closed‐form pricing through an affine GARCH model with realized variance pp. 135-156

Qi Wang and Zerong Wang