Journal of Futures Markets

1981 - 2025

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

Edward A. Dyl and Edwin Maberly

Testing the rationality of futures prices for selected LDC agricultural exports pp. 523-540

Indira Rajaraman

Returns to storage in coffee and cocoa futures markets pp. 541-564

Sarahelen Thompson

Trader concentration effects in live cattle futures pp. 565-574

Charles M. Oellerman and Paul L. Farris

Asymmetric arbitrage in futures markets: An empirical study pp. 575-591

Da‐Hsiang Donald Lien

Options on futures contracts: A comparison of European and American pricing models pp. 593-618

Kuldeep Shastri and Kishore Tandon

A theoretical analysis of the volatility premium in the dollar index contract pp. 619-627

Corey B. Redfield

On the informational role of treasury bill futures pp. 629-643

Shantaram P. Hegde and Bill McDonald

The joint effect of housing start and inflation announcements on GNMA futures prices pp. 645-657

Anand K. Bhattacharya

Dispute resolution systems in the commodity futures industry pp. 659-670

James J. Moylan and Laren Ukman

A note on agricultural options and the variance of futures prices pp. 671-676

Nikolaos Milonas

Response to a comment on “stable distributions, futures prices, and the measurement of trading performance” pp. 677-680

Ronald W. Cornew

Trading tactics pp. 681-681

Mark J. Powers and Todd Lofton

Legal and regulatory developments pp. 683-685

Frederick L. White

Futures Bibliography pp. 687-691

Robert T. Daigler

Volume 6, issue 3, 1986

Foreign currency futures and monetary policy announcements: An intervention analysis pp. 343-373

John Doukas and Abdul Rahman

The effect of monetary surprises on financial futures prices pp. 375-383

R. S. Woodward

The informational content of the interday price change with respect to stock index futures pp. 385-395

Edwin D. Maverly

Weekend and day of the week effects in returns on stock index futures pp. 397-407

Joan C. Junkus

A further investigation of the day‐of‐the‐week effect in the gold market pp. 409-419

Christopher K. Ma

Optimal commodity hedging within the capital asset pricing model pp. 421-431

Gary E. Bond and Stanley Thompson

Arbitrage opportunities with T‐bill/T‐bond futures combinations pp. 433-442

John C. Easterwood and A. J. Senchack

Price variability and the maturity effect in futures markets pp. 443-460

Nikolaos Milonas

The certificate system for delivery in live cattle: Conceptual issues and measures of performance pp. 461-475

Wayne D. Purcell and Michael A. Hudson

The relative efficiency of the gold and treasury bill futures markets pp. 477-493

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

Ronald W. Cornew

Legal and regulatory developments pp. 503-504

Frederick L. White and William Stein

Stable distributions, futures prices, and the measurement of trading performance: A comment pp. 505-506

John Doukas and Abdul Rahman

Futures Bibliography pp. 507-509

Robert T. Daigler

Volume 6, issue 2, 1986

Futures fund performance: A test of the effectiveness of technical analysis pp. 175-185

J. Austin Murphy

Effects of expected cash and futures prices on hedging and production pp. 187-205

Frances Antonovitz and Terry Roe

Taxes and the hedging of forward commitments pp. 207-222

Robert L. McDonald

Predicting changes in T‐bond futures spreads using implied yields from T‐bill futures pp. 223-230

Charles A. Akemann

The quality option in the treasury bond futures market: An empirical assessment pp. 231-248

Alex Kane and Alan J. Marcus

Forward cash contracting of cotton pp. 249-259

Stephen E. Miller

The effects of margins on trading in futures markets pp. 261-271

Raymond P. H. Fishe and Lawrence G. Goldberg

On marketing strategies with options: A technique to measure risk and return pp. 273-288

R. J. Hauser and J. S. Eales

Hedging effectiveness of currency options and currency futures pp. 289-305

Jack S. K. Chang and Latha Shanker

A comparative analysis of futures contract margins pp. 307-324

Gerald D. Gay, William C. Hunter and Robert W. Kolb

Insider trading in futures markets: A discussion pp. 325-333

Stephen J. Dinehart

Futures bibliography pp. 335-338

Robert T. Daigler

Volume 6, issue 1, 1986

Lead‐lag relationships between trading volume and price variability: New evidence pp. 1-10

Philip Garcia, Raymond M. Leuthold and Hector Zapata

Hedging shelf registrations pp. 11-27

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

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

Joel C. Rentzler

Can a dynamic strategy replicate the returns of an option? pp. 63-70

Michael Asay and Charles Edelsburg

The hedging performance of the CD futures market pp. 71-81

James A. Overdahl and Dennis R. Starleaf

Portfolio model hedging with canadian dollar futures: A framework for analysis pp. 83-92

Harry S. Marmer

On the use of European models to price American options on foreign currency pp. 93-108

Kuldeep Shastri and Kishore Tandon

Random walk profits in currency futures trading pp. 109-125

Lee R. Thomas

Sample path properties of futures prices pp. 127-140

David H. Goldenberg

Economic costs and benefits of the proposed one—minute time bracketing regulation pp. 141-166

Sanford Grossman and Merton Miller

Futures bibliography pp. 167-171

Robert T. Daigler