Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Extreme price movements and margin levels in futures markets pp. 639-655: Franklin R. Edwards and Salih Neftci
Hedging and risk aversion in the foreign currency market pp. 657-686: Jerry A. Hammer
Hedger response to multiple grades of delivery on futures markets pp. 687-702: Da‐Hsiang Donald Lien
Hedging foreign exchange risk with currency futures: Portfolio effects pp. 703-715: Gregory J. Lypny
A monthly effect in commodity price changes: A note pp. 717-722: Eric C. Chang
The other friday “bull” effect: A chance occurrence or the harbinger of yet another puzzling anomaly? a note! pp. 723-724: Edwin Maberly
Futures Bibliography pp. 725-733: Robert T. Daigler

Optimal exercise of the switching option in treasury bond arbitrages pp. 517-532: Theodore M. Barnhill and William E. Seale
Daily trading estimates for treasury bond futures contract prices pp. 533-561: Karin Peterson LaBarge
Cash‐futures arbitrage and forward‐futures spreads in the treasury bill market pp. 563-573: Linda Allen and Thom Thurston
Indeterminacy of price and quantity in futures markets pp. 575-588: Margaret A. Monroe
Commodity pool performance: Is the information contained in pool prospectuses useful? pp. 589-616: Franklin R. Edwards and Cindy Ma
Commodity pool operators and their pools: Expenses and profitability pp. 617-637: Ronald W. Cornew

Index futures, program trading, and stock market procedures pp. 391-412: Hans Stoll
Program trading and stock and futures price volatility pp. 413-419: Sanford Grossman
Futures trading and cash market volatility: Stock index and interest rate futures pp. 421-439: Franklin R. Edwards
Portfolio insurance with stock index futures pp. 441-455: John J. Merrick
Optimal bank asset and liability management with financial futures pp. 457-481: Abraham I. Brodt
Commodity futures prices and economic news: An examination under alternative monetary regimes pp. 483-510: Scott W. Barnhart
Futures Bibliography pp. 511-516: Robert T. Daigler

Hedging with futures in an intertemporal portfolio context pp. 249-269: Michael Adler and Jerome Detemple
When random is not random: An introduction to chaos in market prices pp. 271-290: Robert Savit
On the possible tax‐driven arbitrage opportunities in the new municipal bond futures contract pp. 291-302: Hal Heaton
The pricing and performance of stock index futures spreads pp. 303-318: Randall S. Billingsley and Don M. Chance
Effectiveness of hedging interest rate risks and stock market risks with financial futures pp. 319-334: Michel Fortin and Nabil T. Khoury
The hedging performance of ECU futures contracts pp. 335-352: Anthony Saunders and Stanley Sienkiewicz
A risk premium under uncertain inflation: The inflation futures evidence pp. 353-363: Chen‐Chin Chu
Examining the validity of a test of futures market efficiency pp. 365-372: Emmett Elam and Bruce L. Dixon
American vs. European options on the value line index pp. 373-388: Nusret Cakici, T. Hanan Eytan and Giora Harpaz
A further investigation of the day‐of‐the‐week effect in the gold market: A comment pp. 389-390: Anthony F. Herbst and Edwin Maberly

The pricing of dollar index futures contracts pp. 127-139: T. Hanan Eytan, Giora Harpaz and Steven Krull
Comparison of selective hedging and options strategies in cattle feedlot risk management pp. 141-156: Ted Schroeder and Marvin L. Hayenga
The rationality model revisited pp. 157-166: Edward F. Renshaw
Using futures to improve treasury bill portfolio performance pp. 167-184: S. Scott MacDonal, Richard L. Peterson and Timothy W. Koch
Empirical tests of boundary conditions for options on treasury bond futures contracts pp. 185-198: Edward C. Blomeyer and James C. Boyd
Arbitrage opportunities in metal futures markets pp. 199-209: Christopher K. Ma and Luc A. Soenen
An empirical examination of composite stock index futures pricing pp. 211-228: Edward M. Saunders and Arvind Mahajan
Day of the week effects and commodity price changes pp. 229-241: Eric C. Chang and Chan‐Wung Kim
Futures Bibliography pp. 243-247: Robert T. Daigler

Similarity of computer guided technical trading systems pp. 1-13: Louis P. Lukac, B Brorsen and Scott Irwin
Portfolio insurance trading rules pp. 15-31: Richard Bookstaber and Joseph A. Langsam
Evaluating the performance of stock portfolios with index futures contracts pp. 33-46: Robert Brooks and John Hand
Option price behavior in grain futures markets pp. 47-65: William Wilson, Hung‐Gay Fung and Michael Ricks
A semi‐strong test of the efficiency of the aluminum and copper markets at the LME pp. 67-77: Martin Gross
Risk and return in cattle and hog futures pp. 79-87: Emmett W. Elam and Daniel Vaught
Undated futures markets pp. 89-97: Adam K. Gehr
A note: Do futures prices always reflect the cheapest deliverable grade of the commodity? pp. 99-102: Betsey A. Kuhn
Note on trader concentration effects in feeder cattle futures and comparison with live cattle pp. 103-113: Charles M. Oellermann and Paul L. Farris
The “weekend effect” for stock indexes and stock index futures: Dividend and interest rate effects pp. 115-121: Frederick J. Phillips‐Patrick and Thomas Schneeweis
Futures Bibliography pp. 123-126: Robert T. Daigler