Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Insuring banks against systematic credit risk pp. 487-505: David Babbel
Nonlinearities and chaotic effects in options prices pp. 507-518: Robert Savit
Frequency and duration of profitable hedging margins for texas cotton producers, 1980–1986 pp. 519-528: Wendell C. Wood, Carl E. Shafer and Carl G. Anderson
Hedging in the treasury bill futures market when the hedged instrument and the deliverable instrument are not matched pp. 529-537: George M. McCabe and Donald P. Solberg
Yield opportunities and hedge ratio considerations with fixed income cash‐and‐carry trades pp. 539-545: Ira G. Kawaller and Timothy W. Koch
Production and hedging decisions in the presence of basis risk pp. 547-563: Jacob Paroush and Avner Wolf
Gambler's ruin and optimal stop loss strategy pp. 565-571: Gang Shyy
A supply of storage theory with asymmetric information pp. 573-581: Nabil T. Khoury and Jean‐Marc Martel
Sampled data as a basis of cash settlement price pp. 583-588: Da‐Hsiang Donald Lien

An empirical investigation of the early exercise premium of foreign currency options pp. 365-375: Philippe Jorion and Neal M. Stoughton
Price discovery and hedging in the sunflower market pp. 377-391: William Wilson
Forecasting efficiency of energy futures prices pp. 393-419: Cindy W. Ma
On the value of the implicit delivery options pp. 421-437: Shantaram P. Hegde
Configurations for arbitrage using financial futures contracts pp. 439-448: Adrian S. Yano
An analysis of index option pricing pp. 449-459: John S. Cotner and James F. Horrell
Exchange memberships: An overview of the issues pertaining to the property rights of a bankrupt member and his creditors pp. 461-467: James J. Moylan, Laren A. Ukman and Peter S. Lake
Measuring hedging effectiveness with R-super-2: A note pp. 469-475: Mary Lindahl

The live cattle futures market and daily cash price movements pp. 273-282: B Brorsen, Charles M. Oellermann and Paul L. Farris
The market for japanese stock index futures: Some preliminary evidence pp. 283-295: Warren Bailey
Evidence on the effect of information and noise trading on intraday gold futures returns pp. 297-305: Beni Lauterbach and Margaret Monroe
Performance of estimated hedging ratios under yield uncertainty pp. 307-319: Stephen E. Miller and Kandice H. Kahl
Limit moves and price resolution: The case of the treasury bond futures market pp. 321-335: Christopher K. Ma, Ramesh Rao and R. Stephen Sears
Effects of expected cash and futures prices on hedging and production: Comments and extensions pp. 337-345: Ardeshir J. Dalal and Bala G. Arshanapalli
Arbitrage opportunities between thin and liquid futures markets pp. 347-353: Colin Carter
Optical settlement specification on futures contracts pp. 355-358: Da‐Hsiang Donald Lien

Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures pp. 185-197: A. F. Herbst, D. D. Kare and S. C. Caples
Memory and equilibrium futures prices pp. 199-213: David H. Goldenberg
The optimal maturity of hedges and participation of hedgers in futures and forward markets pp. 215-224: C. T. Shalen
Liquidity costs and scalping returns in the corn futures market pp. 225-236: B Brorsen
Cash settlement issues for live cattle futures contracts pp. 237-248: Kandice H. Kahl, Michael A. Hudson and Clement E. Ward
Futures rates and forward rates as predictors of near‐term treasury bill rates pp. 249-262: S. Scott MacDonald and Scott Hein
Cash settlement provisions on futures contracts pp. 263-270: Da‐Hsiang Donald Lien
The relationship between stock indices and stock index futures from 3:00–3:15: A note pp. 271-272: Edwin Maberly

Cross hedging the Italian Lira/US dollar exchange rate with deutsch mark futures pp. 87-99: Francesco S. Braga, Larry J. Martin and Karl Meilke
Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects pp. 101-111: John J. Merrick
Price discovery for feeder cattle pp. 113-121: Charles M. Oellermann, B Brorsen and Paul L. Farris
Optimal futures spread positions pp. 123-133: Geoffrey Poitras
Determinants of an individual's demand for hedging instruments pp. 135-141: Rafael Eldor, David Pines and Abba Schwartz
Investment decision making with index futures and index futures options pp. 143-162: Robert Brooks
Optimal hedging and spreading on wheat futures markets pp. 163-170: Da‐Hsiang Donald Lien
A note on the relationship between forward and futures contracts pp. 171-173: Azriel Levy
The daily effect in the gold market: A reply pp. 175-177: Christopher K. Ma, G. Wenchi Wong and Edwin Maberly

A theory of negative prices for storage pp. 1-13: Brian Wright and Jeffrey C. Williams
Complex hedges: How well do they work? pp. 15-27: Dwight Grant and Mark Eaker
Hedging canadian corporate debt: A comparative study of the hedging effectiveness of Canadian and U.S. bond futures pp. 29-39: Louis Gagnon, Samuel Mensah and Edward H. Blinder
Pricing and hedging capped options pp. 41-54: Phelim P. Boyle and Stuart M. Turnbull
The usefulness of historical data in selecting parameters for technical trading systems pp. 55-65: Louis P. Lukac and B Brorsen
Optimal cross‐hedge portfolios for hedging stock index options pp. 67-75: Michael J. Alderson and Terry L. Zivney
An analysis of intra‐market spreads in heating oil futures pp. 77-86: Peter A. Abken
An analysis of intra‐market spreads in heating oil futures pp. 77-86: Peter A. Abken