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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 6, issue 4, 1986

The daily distribution of changes in the price of stock index futures pp. 513-521 Downloads
Edward A. Dyl and Edwin Maberly
Testing the rationality of futures prices for selected LDC agricultural exports pp. 523-540 Downloads
Indira Rajaraman
Returns to storage in coffee and cocoa futures markets pp. 541-564 Downloads
Sarahelen Thompson
Trader concentration effects in live cattle futures pp. 565-574 Downloads
Charles M. Oellerman and Paul L. Farris
Asymmetric arbitrage in futures markets: An empirical study pp. 575-591 Downloads
Da‐Hsiang Donald Lien
Options on futures contracts: A comparison of European and American pricing models pp. 593-618 Downloads
Kuldeep Shastri and Kishore Tandon
A theoretical analysis of the volatility premium in the dollar index contract pp. 619-627 Downloads
Corey B. Redfield
On the informational role of treasury bill futures pp. 629-643 Downloads
Shantaram P. Hegde and Bill McDonald
The joint effect of housing start and inflation announcements on GNMA futures prices pp. 645-657 Downloads
Anand K. Bhattacharya
Dispute resolution systems in the commodity futures industry pp. 659-670 Downloads
James J. Moylan and Laren Ukman
A note on agricultural options and the variance of futures prices pp. 671-676 Downloads
Nikolaos Milonas
Response to a comment on “stable distributions, futures prices, and the measurement of trading performance” pp. 677-680 Downloads
Ronald W. Cornew
Trading tactics pp. 681-681 Downloads
Mark J. Powers and Todd Lofton
Legal and regulatory developments pp. 683-685 Downloads
Frederick L. White
Futures Bibliography pp. 687-691 Downloads
Robert T. Daigler

Volume 6, issue 3, 1986

Foreign currency futures and monetary policy announcements: An intervention analysis pp. 343-373 Downloads
John Doukas and Abdul Rahman
The effect of monetary surprises on financial futures prices pp. 375-383 Downloads
R. S. Woodward
The informational content of the interday price change with respect to stock index futures pp. 385-395 Downloads
Edwin D. Maverly
Weekend and day of the week effects in returns on stock index futures pp. 397-407 Downloads
Joan C. Junkus
A further investigation of the day‐of‐the‐week effect in the gold market pp. 409-419 Downloads
Christopher K. Ma
Optimal commodity hedging within the capital asset pricing model pp. 421-431 Downloads
Gary E. Bond and Stanley Thompson
Arbitrage opportunities with T‐bill/T‐bond futures combinations pp. 433-442 Downloads
John C. Easterwood and A. J. Senchack
Price variability and the maturity effect in futures markets pp. 443-460 Downloads
Nikolaos Milonas
The certificate system for delivery in live cattle: Conceptual issues and measures of performance pp. 461-475 Downloads
Wayne D. Purcell and Michael A. Hudson
The relative efficiency of the gold and treasury bill futures markets pp. 477-493 Downloads
Margaret A. Monroe and Richard A. Cohn
Note on initial margin to net asset value: Average values for the commodity pool industry pp. 495-501 Downloads
Ronald W. Cornew
Legal and regulatory developments pp. 503-504 Downloads
Frederick L. White and William Stein
Stable distributions, futures prices, and the measurement of trading performance: A comment pp. 505-506 Downloads
John Doukas and Abdul Rahman
Futures Bibliography pp. 507-509 Downloads
Robert T. Daigler

Volume 6, issue 2, 1986

Futures fund performance: A test of the effectiveness of technical analysis pp. 175-185 Downloads
J. Austin Murphy
Effects of expected cash and futures prices on hedging and production pp. 187-205 Downloads
Frances Antonovitz and Terry Roe
Taxes and the hedging of forward commitments pp. 207-222 Downloads
Robert L. McDonald
Predicting changes in T‐bond futures spreads using implied yields from T‐bill futures pp. 223-230 Downloads
Charles A. Akemann
The quality option in the treasury bond futures market: An empirical assessment pp. 231-248 Downloads
Alex Kane and Alan J. Marcus
Forward cash contracting of cotton pp. 249-259 Downloads
Stephen E. Miller
The effects of margins on trading in futures markets pp. 261-271 Downloads
Raymond P. H. Fishe and Lawrence G. Goldberg
On marketing strategies with options: A technique to measure risk and return pp. 273-288 Downloads
R. J. Hauser and J. S. Eales
Hedging effectiveness of currency options and currency futures pp. 289-305 Downloads
Jack S. K. Chang and Latha Shanker
A comparative analysis of futures contract margins pp. 307-324 Downloads
Gerald D. Gay, William C. Hunter and Robert W. Kolb
Insider trading in futures markets: A discussion pp. 325-333 Downloads
Stephen J. Dinehart
Futures bibliography pp. 335-338 Downloads
Robert T. Daigler

Volume 6, issue 1, 1986

Lead‐lag relationships between trading volume and price variability: New evidence pp. 1-10 Downloads
Philip Garcia, Raymond M. Leuthold and Hector Zapata
Hedging shelf registrations pp. 11-27 Downloads
Don M. Chance, M. Wayne Marr and G. Rodney Thompson
The causal relationship between futures price volatility and the cash price volatility of GNMA securities pp. 29-39 Downloads
Anand K. Bhattacharya, Anju Ramjee and Balasubramani Ramjee
Trading treasury bond spreads against treasury bill futures—a model and empirical test of the turtle trade pp. 41-61 Downloads
Joel C. Rentzler
Can a dynamic strategy replicate the returns of an option? pp. 63-70 Downloads
Michael Asay and Charles Edelsburg
The hedging performance of the CD futures market pp. 71-81 Downloads
James A. Overdahl and Dennis R. Starleaf
Portfolio model hedging with canadian dollar futures: A framework for analysis pp. 83-92 Downloads
Harry S. Marmer
On the use of European models to price American options on foreign currency pp. 93-108 Downloads
Kuldeep Shastri and Kishore Tandon
Random walk profits in currency futures trading pp. 109-125 Downloads
Lee R. Thomas
Sample path properties of futures prices pp. 127-140 Downloads
David H. Goldenberg
Economic costs and benefits of the proposed one—minute time bracketing regulation pp. 141-166 Downloads
Sanford Grossman and Merton Miller
Futures bibliography pp. 167-171 Downloads
Robert T. Daigler
Page updated 2020-08-10