Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 39, issue 12, 2019

How about selling commodity futures losers? pp. 1489-1514

Jangkoo Kang and Kyung Yoon Kwon

Time‐series momentum in China's commodity futures market pp. 1515-1528

Hyuna Ham, Hoon Cho, Hyeongjun Kim and Doojin Ryu

Flexible covariance dynamics, high‐frequency data, and optimal futures hedging pp. 1529-1548

Yu‐Sheng Lai

Oil price volatility and real options: 35 years of evidence pp. 1549-1564

John Elder

Multivariate realized volatility forecasts of agricultural commodity futures pp. 1565-1586

Jiawen Luo and Langnan Chen

Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions pp. 1587-1612

Shan Lu

Hedging performance of multiscale hedge ratios pp. 1613-1632

Jahangir Sultan, Antonios K. Alexandridis, Mohammad Hasan and Xuxi Guo

Volume 39, issue 11, 2019

Editor's Note pp. 1347-1347

Robert I. Webb

Volatility index and the return–volatility relation: Intraday evidence from Chinese options market pp. 1348-1359

Jupeng Li, Xiaoli Yu and Xingguo Luo

A smiling bear in the equity options market and the cross‐section of stock returns pp. 1360-1382

Haehean Park, Baeho Kim and Hyeongsop Shim

Market quality and the connectedness of steel rebar and other industrial metal futures in China pp. 1383-1393

Ivan Indriawan, Qingfu Liu and Yiuman Tse

High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures pp. 1394-1434

Jing Nie

Can skewness of the futures‐spot basis predict currency spot returns? pp. 1435-1449

Xue Jiang, Liyan Han and Libo Yin

How do US options traders “smirk” on China? Evidence from FXI options pp. 1450-1470

Jianhui Li, Sebastian A. Gehricke and Jin E. Zhang

Derivatives pricing with liquidity risk pp. 1471-1485

Yongmin Zhang, Shusheng Ding and Meryem Duygun

Volume 39, issue 10, 2019

Instantaneous squared VIX and VIX derivatives pp. 1193-1213

Xingguo Luo, Jin E. Zhang and Wenjun Zhang

A dimension‐invariant cascade model for VIX futures pp. 1214-1227

Zhiguang Wang and Brice Dupoyet

Illiquidity transmission from spot to futures markets pp. 1228-1249

Olaf Korn, Paolo Krischak and Erik Theissen

Options pricing and short‐selling in the underlying: Evidence from India pp. 1250-1268

Alok Dixit, Vipul and Shivam Singh

Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs pp. 1269-1300

Jieye Qin, Christopher Green and Kavita Sirichand

Does maturity matter? The case of treasury futures volume pp. 1301-1321

Doina Chichernea, Kershen Huang and Alex Petkevich

Information share and its predictability in the Indian stock market pp. 1322-1343

Madhusudan Karmakar and Sarveshwar Inani

Volume 39, issue 9, 2019

Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures pp. 1035-1055

Scott Mixon and Esen Onur

Pricing executive stock options with averaging features under the Heston–Nandi GARCH model pp. 1056-1084

Zhiwei Su and Xingchun Wang

Is options trading informed? Evidence from credit rating change announcements pp. 1085-1106

Jun Zhang

Price discovery in commodity derivatives: Speculation or hedging? pp. 1107-1121

Marc J. M. Bohmann, David Michayluk and Vinay Patel

The evolution of price discovery in us equity and derivatives markets pp. 1122-1136

Damien Wallace, Petko S. Kalev and Guanhua Lian

Robust estimation of risk‐neutral moments pp. 1137-1166

Manuel Ammann and Alexander Feser

Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities pp. 1167-1189

Frantisek Cech and Jozef Baruník

Volume 39, issue 8, 2019

Editor's Note pp. 919-919

Robert I. Webb

Economic uncertainty, trading activity, and commodity futures volatility pp. 921-945

Sumudu Watugala

On commodity price limits pp. 946-961

Rajkumar Janardanan, Xiao Qiao and K. Rouwenhorst

An analysis of illiquidity in commodity markets pp. 962-984

Sungjun Cho, Chanaka N. Ganepola and Ian Garrett

Block trades in options markets pp. 985-1007

Eleni Gousgounis and Sayee Srinivasan

The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations pp. 1008-1031

Ioannis C. Moutzouris and Nikos K. Nomikos

Volume 39, issue 7, 2019

The impact of the US stock market opening on price discovery of government bond futures pp. 779-802

Ivan Indriawan, Feng Jiao and Yiuman Tse

Price discovery in bitcoin spot or futures? pp. 803-817

Dirk G. Baur and Thomas Dimpfl

The quantile dependence of commodity futures markets on news sentiment pp. 818-837

Akihiro Omura and Neda Todorova

Corporate risk exposures, disclosure, and derivatives use: A longitudinal study pp. 838-864

Ekaterina E. Emm, Gerald D. Gay and Honglin Ren

Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling? pp. 865-889

Tore Kleppe and Atle Oglend

Jump variance risk: Evidence from option valuation and stock returns pp. 890-915

Hsuan‐Ling Chang, Yen‐Cheng Chang, Hung‐Wen Cheng, Po‐Hsiang Peng and Kevin Tseng

Volume 39, issue 6, 2019

Pricing variance swaps under the Hawkes jump‐diffusion process pp. 635-655

Weiyi Liu and Song‐Ping Zhu

The impacts of public news announcements on intraday implied volatility dynamics pp. 656-685

Jieun Lee and Doojin Ryu

Institutional quality and sovereign credit default swap spreads pp. 686-703

Wei Huang, Shu Lin and Jian Yang

Valuation and applications of compound basket options pp. 704-720

Kwangil Bae

Losers and prospectors in the short‐term options market pp. 721-743

Arjun Chatrath, Rohan A. Christie‐David, Hong Miao and Sanjay Ramchander

Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model pp. 744-776

Zhiyuan Pan, Yudong Wang, Li Liu and Qing Wang

Volume 39, issue 5, 2019

Editor's Note pp. 537-537

Robert I. Webb

Regime switching rough Heston model pp. 538-552

Mesias Alfeus, Ludger Overbeck and Erik Schlogl

Contrarians or momentum chasers? Individual investors’ behavior when trading exchange‐traded funds pp. 553-578

Carlo Da Dalt, David Feldman, Gerald Garvey and Joakim Westerholm

Informed trading around earnings announcements—Spot, futures, or options? pp. 579-589

Sonali Jain, Sobhesh Kumar Agarwalla, Jayanth Varma and Ajay Pandey

Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation pp. 590-599

Alex Frino, Ognjen Kovačević and Vito Mollica

Volatility of volatility is (also) rough pp. 600-611

José Da Fonseca and Wenjun Zhang

Properties and the predictive power of implied volatility in the New Zealand dairy market pp. 612-631

Adrian Fernandez‐Perez, Bart Frijns, Ilnara Gafiatullina and Alireza Tourani‐Rad

Volume 39, issue 4, 2019

Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets pp. 405-417

Claudia Wellenreuther and Jan Voelzke

Semistatic hedging and pricing American floating strike lookback options pp. 418-434

San‐Lin Chung, Yi‐Ta Huang, Pai‐Ta Shih and Jr‐Yan Wang

The term structure of systematic and idiosyncratic risk pp. 435-460

Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen

Economic policy uncertainty, CDS spreads, and CDS liquidity provision pp. 461-480

Xinjie Wang, Weike Xu and Zhaodong Zhong

How to hedge if the payment date is uncertain? pp. 481-498

Olaf Korn and Alexander Merz

Improving momentum strategies using residual returns and option‐implied information pp. 499-521

Ming‐Yu Liu

The trilogy of China cotton markets: The lead–lag relationship among spot, forward, and futures markets pp. 522-534

Mert Demir, Terrence F. Martell and Jun Wang

Volume 39, issue 3, 2019

When stock futures dominate price discovery pp. 263-278

Nidhi Aggarwal and Susan Thomas

Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan pp. 279-301

Yi‐Wei Chuang, Yu‐Fen Lin and Pei‐Shih Weng

Variance and skew risk premiums for the volatility market: The VIX evidence pp. 302-321

José Da Fonseca and Yahua Xu

Long‐term dynamics of the VIX index and its tradable counterpart VXX pp. 322-341

Milan Bašta and Peter Molnár

Pricing and issuance dependencies in structured financial product portfolios pp. 342-365

Matthias Pelster and Andrea Schertler

Do country risk and financial uncertainty matter for energy commodity futures? pp. 366-383

Chien‐Chiang Lee, Chi‐Chuan Lee and Donald Lien

Market openness and market quality in gold markets pp. 384-401

Caihong Xu and Dong Zhang

Volume 39, issue 2, 2019

Indian equity options: Smile, risk premiums, and efficiency pp. 150-163

Sonali Jain, Jayanth Varma and Sobhesh Kumar Agarwalla

Settlement procedures and stock market efficiency pp. 164-185

Emily Lin and Carl R. Chen

Hyperbolic normal stochastic volatility model pp. 186-204

Jaehyuk Choi, Chenru Liu and Byoung Ki Seo

Do hedge funds time market tail risk? Evidence from option‐implied tail risk pp. 205-237

Jung‐Soon Shin, Minki Kim, Dongjun Oh and Tong Suk Kim

Price discovery among SSE 50 Index‐based spot, futures, and options markets pp. 238-259

Kwangwon Ahn, Yingyao Bi and Sungbin Sohn

Volume 39, issue 1, 2019

Robust upper bounds for American put options pp. 3-14

Ye Du, Shan Xue and Yanchu Liu

Withdrawn: A general jump‐diffusion process to price volatility derivatives pp. 15-37

Cheng Yan and Bo Zhao

Quantile information share pp. 38-55

Donald Lien and Zijun Wang

Volatility information implied in the term structure of VIX pp. 56-71

Kai‐Jiun Chang, Mao‐Wei Hung, Yaw‐Huei Wang and Kuang‐Chieh Yen

VIX term structure and VIX futures pricing with realized volatility pp. 72-93

Zhuo Huang, Chen Tong and Tianyi Wang

Option‐implied betas and the cross section of stock returns pp. 94-108

Richard Harris, Xuguang Li and Fang Qiao

Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge? pp. 109-127

Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl

Correlation risk and international portfolio choice pp. 128-146

Nicole Branger, Matthias Muck and Stefan Weisheit