Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Public policy intervention through futures market operations pp. 567-571: James Moser
Stock index futures arbitrage: International evidence pp. 573-603: Pradeep K. Yadav and Peter F. Pope
Price forecasts and interest rate forecasts: An extension of levy's hypothesis pp. 605-610: Lloyd P. Blenman
The supply of storage in energy futures markets pp. 611-621: Dong W. Cho and Gerald S. McDougall
The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes pp. 623-641: Roger Fujihara and Keehwan Park
The distribution of gold futures spreads pp. 643-659: Geoffrey Poitras
The intraday behavior of commodity futures prices pp. 661-671: Terrence F. Martell and Ruben C. Trevino
Limit moves and price resolution: The case of the treasury bond futures market: A comment pp. 673-674: Gregory J. Kuserk

On valuing complex interest rate claims pp. 443-455: Peter Ritchken and L. Sankarasubramanian
An examination of basis risk due to estimation pp. 457-467: James Moser and Billy Helms
The efficiency of the U.S. dollar index futures market pp. 469-479: Giora Harpaz, Steven Krull and Joseph Yagil
A discretionary approach to hedging a lender's exposure in adjustable rate mortgages pp. 481-496: Thomas F. Gosnell and Andrea J. Heuson
Hedge ratios under inherent risk reduction in a commodity complex pp. 497-504: Dah‐Nein Tzang and Raymond M. Leuthold
Options and investment strategies pp. 505-517: Bernard Morard and Ahmed Naciri
Commodity convenience yields as an option profit pp. 519-533: Robert Heinkel, Maureen E. Howe and John S. Hughes
Corporate taxes and hedging with futures pp. 535-540: T. Hanan Eytan
Margin requirements in futures markets: Their relationship to price volatility pp. 541-554: Raymond P. H. Fishe, Lawrence G. Goldberg, Thomas F. Gosnell and Sujata Sinha
Testing unbiasedness in futures markets: A clarification pp. 555-562: Scott Hein, Christopher K. Ma and S. Scott MacDonald
Futures bibliography pp. 563-565: Robert T. Daigler

Option pricing with futures‐style margining pp. 327-338: Derming Lieu
Put‐call‐futures parity and arbitrage opportunity in the market for options on gold futures contracts pp. 339-352: Richard A. Followill and Billy P. Helms
Alternative estimates of weighted implied volatilities from soybean and live cattle options pp. 353-366: Calum Turvey
Premiums on stock index futures‐some evidence pp. 367-375: Swati Bhatt and Nusret Cakici
The relative responsiveness to information and variability of storable commodity spot and futures prices pp. 377-395: Dean Leistikow
Forecasting accuracy and development of a financial market: The treasury bill futures market pp. 397-405: Avraham Kamara
International trading/nontrading time effects on risk estimation in futures markets pp. 407-423: Joanne Hill, Thomas Schneeweis and Jot Yau
Estimation and revision of a sequential auction model for the soybean futures current contract pp. 425-441: William D. O'Neill

Analyzing biases in valuation models of options on futures pp. 211-228: James Eales and Robert J. Hauser
Out of sample effectiveness of a joint commodity and currency hedge: The case of soybean meal in Italy pp. 229-245: Francesco S. Braga and Larry J. Martin
Optimal portfolios for commodity futures funds pp. 247-258: B Brorsen and Louis P. Lukac
Basis risk and optimal decision making for California feedlots pp. 259-271: Timothy Park and Frances Antonovitz
The relationship between the volatilities of the S&P 500 index and futures contracts implicit in their call option prices pp. 273-285: Li‐Ming Han and Lalatendu Misra
Commodity futures cross hedging of foreign exchange exposure pp. 287-306: Bruce A. Benet
An intertemporal measure of hedging effectiveness pp. 307-321: Jack S. K. Chang and Hsing Fang
Stock index futures, expiration day volatility, and the “special” friday opening: A note pp. 323-325: Anthony F. Herbst and Edwin Maberly

South African political unrest, oil prices, and the time varying risk premium in the gold futures market pp. 103-111: Michael Melvin and Jahangir Sultan
Potential use of futures markets for international marketing of cǒcte d'Ivoire coffee pp. 113-121: Korotoumou Ouattara, Ted Schroeder and L. Orlo Sorenson
Dominant‐satellite relationships between live cattle cash and futures markets pp. 123-136: Stephen R. Koontz, Philip Garcia and Michael A. Hudson
Testing rationality in futures markets pp. 137-152: Christopher K. Ma, William H. Dare and Darla R. Donaldson
Expiration and delivery on the world sugar futures contract pp. 153-168: Sarahelen Thompson, Thomas J. McNeill and James S. Eales
Determining futures “hedging reserve” capital requirements pp. 169-177: Steven Blank
The economics of cash index alternatives pp. 179-194: Lawrence Harris
Examining the validity of a test of futures market efficiency: A comment pp. 195-196: Chung‐Hua Shen and Lee‐Rong Wang
Hedging canadian corporate debt: A comment and extensions pp. 197-200: Richard Deaves
A note on hedging performance and portfolio effects pp. 201-204: Da‐Hsiang Donald Lien
Futures bibliography pp. 205-209: Robert T. Daigler

An empirical analysis of bank hedging in futures markets pp. 1-12: G. D. Koppenhaver
Information content of volatilities implied by option premiums in grain futures markets pp. 13-27: William Wilson and Hung‐Gay Fung
Risk and return in copper, platinum, and silver futures pp. 29-39: Eric C. Chang, Chao Chen and Son‐Nan Chen
Does futures trading destabilize cash prices? Evidence for U. S. live beef cattle pp. 41-60: Robert Weaver and Aniruddha Banerjee
The hedging effectiveness of options and futures: A mean‐gini approach pp. 61-73: C. Sherman Cheung, Clarence C. Y. Kwan and Patrick C. Y. Yip
An empirical note on hedging mortgages with puts pp. 75-78: Austin Murphy and Douglas Gordon
U.S. futures exchanges as nonprofit entities pp. 79-88: Scott Chambers and Colin Carter
Entry‐deterring contract specification on futures markets pp. 89-95: Da‐Hsiang Donald Lien
Futures bibliography pp. 97-102: Robert T. Daigler