Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 40, issue 12, 2020

Is the synthetic stock price really lower than actual price? pp. 1809-1824

Jianfeng Hu

Can commodity futures risk factors predict economic growth? pp. 1825-1860

Jangkoo Kang and Kyung Yoon Kwon

Bitcoin and sentiment pp. 1861-1879

Hoje Jo, Haehean Park and Hersh Shefrin

Valuation of VIX and target volatility options with affine GARCH models pp. 1880-1917

Hongkai Cao, Alexandru Badescu, Zhenyu Cui and Sarath Kumar Jayaraman

Stochastic multifactor models in risk management of energy futures pp. 1918-1934

Zi‐Yi Guo

Volume 40, issue 11, 2020

Editor's Note pp. 1647-1647

Robert I. Webb

Skewness and index futures return pp. 1648-1664

Eric Jondeau, Xuewu Wang, Zhipeng Yan and Qunzi Zhang

Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares pp. 1665-1690

Xingguo Luo, Xiaoli Yu, Shihua Qin and Qi Xu

Benchmarks in the spotlight: The impact on exchange traded markets pp. 1691-1710

Angelo Aspris, Sean Foley and Peter O'Neill

Intermediary asset pricing in commodity futures returns pp. 1711-1730

Libo Yin, Jing Nie and Liyan Han

Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong pp. 1731-1750

Adrian C. H. Lei, Xiaorong Ma and Martin H. Y. Yick

The market quality of commodity futures markets pp. 1751-1766

Qingfu Liu, Qian Luo, Yiuman Tse and Yuchi Xie

Volatility and jump risk in option returns pp. 1767-1792

Biao Guo and Hai Lin

Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures pp. 1793-1806

Edward Curran, Jack Hunt and Vito Mollica

Volume 40, issue 10, 2020

When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests pp. 1459-1485

Scott Fung and Robert Loveland

Night trading and market quality: Evidence from Chinese and US precious metal futures markets pp. 1486-1507

Ying Jiang, Neil Kellard and Xiaoquan Liu

Modeling VXX under jump diffusion with stochastic long‐term mean pp. 1508-1534

Sebastian A. Gehricke and Jin E. Zhang

A simple method for extracting the probability of default from American put option prices pp. 1535-1547

Bo Young Chang and Greg Orosi

Dynamic programming for valuing American options under a variance‐gamma process pp. 1548-1561

Hatem Ben‐Ameur, Rim Chérif and Bruno Rémillard

Enhancing managerial equity incentives with moving average payoffs pp. 1562-1583

Yisong S. Tian

Forecasting bitcoin volatility: Evidence from the options market pp. 1584-1602

Lai T. Hoang and Dirk G. Baur

Earnings announcement timing, uncertainty, and volatility risk premiums pp. 1603-1630

Tom Adams and Thaddeus Neururer

The sensitivity of trading to the cost of information pp. 1631-1644

Alex Frino, Ognjen Kovačević, Vito Mollica and Robert I. Webb

Volume 40, issue 9, 2020

Liquidity shocks, commodity financialization, and market comovements pp. 1315-1336

Conghui Hu, Zhibing Li and Xiaoyu Liu

Bid and ask prices of index put options: Which predicts the underlying stock returns? pp. 1337-1353

Jian Chen and Yangshu Liu

Metal prices made in China? A network analysis of industrial metal futures pp. 1354-1374

Pierre Siklos, Martin Stefan and Claudia Wellenreuther

The role of financial investors in determining the commodity futures risk premium pp. 1375-1397

Mohammad Isleimeyyeh

When trading options is not the only option: The effects of single‐stock futures trading on options market quality pp. 1398-1419

George J. Jiang, Yoshiki Shimizu and Cuyler Strong

Samuelson hypothesis, arbitrage activity, and futures term premiums pp. 1420-1441

Robert Brooks and Pavel Teterin

A revisit to the hedge and safe haven properties of gold: New evidence from China pp. 1442-1456

Lei Ming, Xinran Zhang, Qianqiu Liu and Shenggang Yang

Volume 40, issue 8, 2020

Editor's Note pp. 1211-1211

Robert I. Webb

The effect of oil price shocks on asset markets: Evidence from oil inventory news pp. 1212-1230

Ron Alquist, Reinhard Ellwanger and Jianjian Jin

Trading and information in futures markets pp. 1231-1263

Guillermo Llorente and Jiang Wang

Characterizing the hedging policies of commodity price‐sensitive corporations pp. 1264-1281

Raphaël H. Boroumand, Stéphane Goutte and Ehud I. Ronn

Oil jump risk pp. 1282-1311

Nima Ebrahimi and Craig Pirrong

Volume 40, issue 7, 2020

Trader networks and options risk management pp. 1031-1048

Naomi Boyd, Peter Locke and Li Sun

Hedging costs and joint determinants of premiums and spreads in structured financial products pp. 1049-1071

Oliver Entrop and Georg Fischer

Return predictability of variance differences: A fractionally cointegrated approach pp. 1072-1089

Zhenxiong Li, Marwan Izzeldin and Xingzhi Yao

Optimal futures hedging for energy commodities: An application of the GAS model pp. 1090-1108

Yingying Xu and Donald Lien

Uncertainty and the volatility forecasting power of option‐implied volatility pp. 1109-1126

Byounghyun Jeon, Sung Won Seo and Jun Sik Kim

Volatility forecasts embedded in the prices of crude‐oil options pp. 1127-1159

Dudley Gilder and Leonidas Tsiaras

The theory of storage in the crude oil futures market, the role of financial conditions pp. 1160-1175

Maryam Ahmadi, Niaz Bashiri Behmiri and Matteo Manera

The impact of trading restrictions and margin requirements on stock index futures pp. 1176-1191

Jianqiang Hu, Tianxiang Wang, Wenwei Hu and Jun Tong

Old crop versus new crop prices: Explaining the correlation pp. 1192-1208

Francisco Arroyo Marioli

Volume 40, issue 6, 2020

Volatility as an asset class: Holding VIX in a portfolio pp. 841-859

James S. Doran

Return and volatility transmission between China's and international crude oil futures markets: A first look pp. 860-884

Jian Yang and Yinggang Zhou

Bank risk‐taking and market discipline: Evidence from CoCo bonds in Korea pp. 885-894

Younghwan Lee and Haerang Park

Does corporate hedging affect firm valuation? Evidence from the IPO market pp. 895-927

Zheng Qiao, Chongwu Xia and Lei Zhang

Pricing VIX options with volatility clustering pp. 928-944

Bo Jing, Shenghong Li and Yong Ma

Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices pp. 945-973

Jiling Cao, Xinfeng Ruan and Wenjun Zhang

Repeated Richardson extrapolation and static hedging of barrier options under the CEV model pp. 974-988

Jia‐Hau Guo and Lung‐Fu Chang

Index options open interest and stock market returns pp. 989-1010

Sung Won Seo, Suk Joon Byun and Jun Sik Kim

When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements pp. 1011-1029

Soniya Mohil, Reena Nayyar and Archana Patro

Volume 40, issue 5, 2020

Editor's Note pp. 709-709

Robert I. Webb

The risk of betting on risk: Conditional variance and correlation of bank credit default swaps pp. 710-721

Xin Huang

Impact of international energy prices on China's industries pp. 722-748

Jin Boon Wong and Qin Zhang

Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives pp. 749-760

Alex Frino, Michael Garcia and Zeyang Zhou

Show me the money: Option moneyness concentration and future stock returns pp. 761-775

Kelley Bergsma, Vivien Csapi, Dean Diavatopoulos and Andy Fodor

Informed options trading on the implied volatility surface: A cross‐sectional approach pp. 776-803

Baeho Kim, Da‐Hea Kim and Haehean Park

Predictive abilities of speculators in energy markets pp. 804-815

Yulia Merkoulova

The determinants of price discovery on bitcoin markets pp. 816-837

Oliver Entrop, Bart Frijns and Marco Seruset

Volume 40, issue 4, 2020

Pricing and integration of credit default swap index tranches pp. 503-526

Andrew Carverhill and Dan Luo

Volatility term structures in commodity markets pp. 527-555

Fabian Hollstein, Marcel Prokopczuk and Christoph Würsig

Efficient trinomial trees for local‐volatility models in pricing double‐barrier options pp. 556-574

U Hou Lok and Yuh‐Dauh Lyuu

Speculative pressure pp. 575-597

John Hua Fan, Adrian Fernandez‐Perez, Ana-Maria Fuertes and Joëlle Miffre

Estimating the connectedness of commodity futures using a network approach pp. 598-616

Binqing Xiao, Honghai Yu, Libing Fang and Sifang Ding

Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification pp. 617-631

Atle Oglend and Hans‐Martin Straume

Intraday time‐series momentum: Evidence from China pp. 632-650

Muzhao Jin, Fearghal Kearney, Youwei Li and Yung Chiang Yang

Yield curve risks in currency carry forwards pp. 651-670

Seungho Baek, Jeong Wan Lee, Kyong Joo Oh and Myoungji Lee

The untold story of commodity futures in China pp. 671-706

John Hua Fan and Tingxi Zhang

Volume 40, issue 3, 2020

Arbitrage opportunities, liquidity provision, and trader types in an index option market pp. 279-307

Chin‐Ho Chen, Junmao Chiu and Huimin Chung

A rare move: The effects of switching from a closing call auction to a continuous trading pp. 308-328

Ya‐Kai Chang, Robin K. Chou and J. Jimmy Yang

Pricing VIX derivatives with infinite‐activity jumps pp. 329-354

Jiling Cao, Xinfeng Ruan, Shu Su and Wenjun Zhang

Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market pp. 355-373

Anirban Banerjee and Ashok Banerjee

The impact of soft intervention on the Chinese financial futures market pp. 374-391

Jimmy E. Hilliard and Haoran Zhang

Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices pp. 392-409

Zihui Yang, Yinggang Zhou and Xin Cheng

Analytical valuation of Asian options with counterparty risk under stochastic volatility models pp. 410-429

Xingchun Wang

A novel risk management framework for natural gas markets pp. 430-459

Panos Pouliasis, Ilias Visvikis, Nikos C. Papapostolou and Alexander A. Kryukov

Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions pp. 460-478

Chunyang Zhou, Chongfeng Wu and Weidong Xu

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets pp. 479-500

Vijay Singal and Jitendra Tayal

Volume 40, issue 2, 2020

Editor's Note pp. 163-163

Robert I. Webb

Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market pp. 164-191

Jangkoo Kang, Kyung Yoon Kwon and Wooyeon Kim

Heterogeneity and netting efficiency under central clearing: A stochastic network analysis pp. 192-208

Injun Hwang and Baeho Kim

The impact of net buying pressure on VIX option prices pp. 209-227

Yi‐Wei Chuang, Wei-Che Tsai and Ming‐Hung Wu

Are disposition effect and skew preference correlated? Evidence from account‐level ELW transactions pp. 228-246

Youngsoo Choi, Woojin Kim and Eunji Kwon

Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach pp. 247-275

Hyun Jin Jang, Kiseop Lee and Kyungsub Lee

Volume 40, issue 1, 2020

An analytical perturbative solution to the Merton–Garman model using symmetries pp. 3-22

Xavier Calmet and Nathaniel Wiesendanger Shaw

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness pp. 23-43

Carol Alexander, Jaehyuk Choi, Heungju Park and Sungbin Sohn

Programs trades and trade regulation: An evidence of the Korean securities market pp. 44-66

Cheoljun Eom, Steven J. Jordan, Woo‐Baik Lee and Jong Won Park

What do we know about individual equity options? pp. 67-91

Alejandro Bernales, Thanos Verousis, Nikolaos Voukelatos and Mengyu Zhang

The externalities of credit default swaps on stock return synchronicity pp. 92-125

Ran Zhao and Lu Zhu

The time‐to‐maturity pattern of futures price sensitivity to news pp. 126-144

Hoàng Long Phan and Ralf Zurbruegg

Return dynamics during periods of high speculation in a thinly traded commodity market pp. 145-159

Martin T. Bohl and Martin Stefan