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Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 35, issue 12, 2015

Where Would the EUR/CHF Exchange Rate be Without the SNB's Minimum Exchange Rate Policy? pp. 1103-1116 Downloads
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
Investor Beliefs and the Demand Pressure on Index Options in Taiwan pp. 1117-1132 Downloads
Ging‐Ginq Pan, Yung‐Ming Shiu and Tu‐Cheng Wu
Program Trading and the Link Between the Spot and Futures Prices pp. 1133-1153 Downloads
Steven J. Jordan, Woo‐Baik Lee and Jong Won Park
An Early‐Exercise‐Probability Perspective of American Put Options in the Low‐Interest‐Rate Era pp. 1154-1172 Downloads
Daniel Wei‐Chung Miao, Yung‐Hsin Lee and Wan‐Ling Chao
Trading Activity in Options and Stock Around Price‐Sensitive News Announcements pp. 1173-1194 Downloads
Khelifa Mazouz, Yuliang Wu and Shuxing Yin
The Demand for Warrants and Issuer Pricing Strategies pp. 1195-1219 Downloads
Rainer Baule and Philip Blonski
Comment: “On Approximating Deep in‐the‐money Asian Options Under Exponential Lévy Processes” pp. 1220-1221 Downloads
Xianming Sun, Dorien Haesen and Michèle Vanmaele

Volume 35, issue 11, 2015

Forecasting Volatility in the Presence of Limits to Arbitrage pp. 987-1002 Downloads
Lu Hong, Tom Nohel and Steven Todd
Stock‐Versus‐Flow Distinctions, Information, and the Role of Inventory pp. 1003-1025 Downloads
Bahram Adrangi, Arjun Chatrath, Rohan A. Christie‐David, Hong Miao and Sanjay Ramchander
Return‐Implied Volatility Dynamics of High and Low Yielding Currencies pp. 1026-1041 Downloads
Miikka Kaurijoki, Jussi Nikkinen and Janne Äijö
Price and Volume Effects of Exchange‐Traded Barrier Options: Evidence from Callable Bull/Bear Contracts pp. 1042-1066 Downloads
Adrian C. H. Lei
Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets pp. 1067-1087 Downloads
Ivelina Pavlova and Maria E. de Boyrie
How Important is a Non‐Default Factor for CDS Valuation? pp. 1088-1101 Downloads
Biao Guo, Qian Han, Jaeram Lee and Doojin Ryu

Volume 35, issue 10, 2015

Editor's Note pp. 893-893 Downloads
Robert I. Webb
The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange pp. 894-915 Downloads
Robin K. Chou, George H. K. Wang and Yun‐Yi Wang
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? pp. 916-938 Downloads
Chris Brooks, Marcel Prokopczuk and Yingying Wu
The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks pp. 939-952 Downloads
Joseph K.W. Fung, Francis Lau and Yiuman Tse
Executive Stock Option Pricing in China Under Stochastic Volatility pp. 953-960 Downloads
Terence Tai Leung Chong, Yue Ding and Yong Li
Production and Anticipatory Hedging under Time‐Inconsistent Preferences pp. 961-985 Downloads
Donald Lien and Chia‐Feng (Jeffrey) Yu

Volume 35, issue 9, 2015

Volatility Risk Premium in Indian Options Prices pp. 795-812 Downloads
Sonia Garg and Vipul
Clustering and Mean Reversion in a Hawkes Microstructure Model pp. 813-838 Downloads
José Da Fonseca and Riadh Zaatour
Ambiguity and the Value of Hedging pp. 839-848 Downloads
Kit Pong Wong
Valuing Retail Credit Tranches with Structural, Double Mixture Models pp. 849-867 Downloads
Taehan Bae, Ian Iscoe and Changki Kim
Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets? pp. 868-891 Downloads
Paresh Narayan, Huson Ali Ahmed and Seema Narayan

Volume 35, issue 8, 2015

Editor's Note pp. 695-695 Downloads
Robert I. Webb
Does Futures Speculation Destabilize Commodity Markets? pp. 696-714 Downloads
Abby Kim
The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options pp. 715-737 Downloads
Wei-Che Tsai, Ying‐Tzu Chiu and Yaw‐Huei Wang
Price‐to‐Earnings Ratios and Option Prices pp. 738-752 Downloads
Ansley Chua, Jared DeLisle, Sze‐Shiang Feng and Bong Soo Lee
Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges pp. 753-775 Downloads
Hans Byström
Risk Premium in Electricity Prices: Evidence from the PJM Market pp. 776-793 Downloads
Yuewen Xiao, David B. Colwell and Ramaprasad Bhar

Volume 35, issue 7, 2015

The Distribution of Uncertainty: Evidence from the VIX Options Market pp. 597-624 Downloads
Clemens Völkert
A Convenience Yield Approximation Model for Mean‐Reverting Commodities pp. 625-654 Downloads
Engelbert Dockner, Zehra Eksi and Margarethe Rammerstorfer
Implied Risk Neutral Densities From Option Prices: Hypergeometric, Spline, Lognormal, and Edgeworth Functions pp. 655-678 Downloads
André Santos and João Guerra
Hoarding the Herd: The Convenience of Productive Stocks pp. 679-694 Downloads
Frank Asche, Atle Oglend and Dengjun Zhang

Volume 35, issue 6, 2015

Editor's Note pp. 505-505 Downloads
Robert I. Webb
Two Order Books are Better than One? Trading at Settlement (TAS) in VIX Futures pp. 506-521 Downloads
Bujar Huskaj and Lars L. Nordén
Time Pro‐rata Matching: Evidence of a Change in LIFFE STIR Futures pp. 522-541 Downloads
Angelo Aspris, Sean Foley, Drew Harris and Peter O'Neill
Depth Characteristics for the Electronic Futures Limit Order Book pp. 542-560 Downloads
Alexandre Aidov and Robert T. Daigler
Exchange‐Traded Barrier Option and VPIN: Evidence from Hong Kong pp. 561-581 Downloads
William M. Cheung, Robin K. Chou and Adrian C.H. Lei
Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach pp. 582-595 Downloads
Minqiang Li

Volume 35, issue 5, 2015

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market pp. 399-425 Downloads
Robin K. Chou, George H. K. Wang and Yun‐Yi Wang
Futures Market Volatility: What Has Changed? pp. 426-454 Downloads
Nicolas P.B. Bollen and Robert E. Whaley
Dislocations in the Currency Swap and Interest Rate Swap Markets: The Case of Korea pp. 455-475 Downloads
Hail Park
An Approach to the Option Market Model Based on End‐User Net Demand pp. 476-503 Downloads
Hiroshi Sasaki

Volume 35, issue 4, 2015

Editor's Note pp. 299-299 Downloads
Robert I. Webb
A Simple Econometric Approach for Modeling Stress Event Intensities pp. 300-320 Downloads
Rainer Jobst, Daniel Rösch, Harald Scheule and Martin Schmelzle
Over the Hedge: Do Exporters Practice Selective Hedging? pp. 321-338 Downloads
Richard Fabling and Arthur Grimes
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets pp. 339-356 Downloads
Sepideh Dolatabadi, Morten Nielsen and Ke Xu
A Factor Analytical Approach to the Efficient Futures Market Hypothesis pp. 357-370 Downloads
Joakim Westerlund, Milda Norkute and Paresh Narayan
A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices pp. 371-384 Downloads
Jürgen Gaul and Erik Theissen
Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps pp. 385-398 Downloads
Jimmy E. Hilliard and Jitka Hilliard

Volume 35, issue 3, 2015

The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives pp. 201-221 Downloads
Doojin Ryu
The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets pp. 222-244 Downloads
Wen‐Hsiu Kuo, San‐Lin Chung and Chiao‐Yi Chang
Analytic Approximation of Finite‐Maturity Timer Option Prices pp. 245-273 Downloads
Minqiang Li and Fabio Mercurio
Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility pp. 274-297 Downloads
Ana-Maria Fuertes, Joëlle Miffre and Adrian Fernandez‐Perez

Volume 35, issue 2, 2015

The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market pp. 105-126 Downloads
Bart Frijns and Yiuman Tse
Implied Pricing Kernels: An Alternative Approach for Option Valuation pp. 127-147 Downloads
Doojin Ryu, Jangkoo Kang and Sangwon Suh
Price Dynamics in Global Crude Oil Markets pp. 148-162 Downloads
Wai‐Man Liu, Emma Schultz and John Swieringa
Petroleum Term Structure Dynamics and the Role of Regimes pp. 163-185 Downloads
Nikos K. Nomikos and Panos Pouliasis
Currency Overlay for Global Equity Portfolios: Cross‐Hedging and Base Currency pp. 186-200 Downloads
Wei Opie and Jonathan Dark

Volume 35, issue 1, 2015

Globally Distributed Production and the Pricing of CME Commodity Futures pp. 1-30 Downloads
Nicolas Merener
High Frequency Trading in the Korean Index Futures Market pp. 31-51 Downloads
Eun Jung Lee
Psychological Barriers and Option Pricing pp. 52-74 Downloads
Bong‐Gyu Jang, Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong‐Hoon Shin
Maximal Gaussian Affine Models for Multiple Commodities: A Note pp. 75-86 Downloads
Jaime Casassus, Peng Liu and Ke Tang
The Impact of Monetary Policy Surprises on Energy Prices pp. 87-103 Downloads
Arabinda Basistha and Alexander Kurov
Page updated 2020-08-10