Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 37, issue 12, 2017

Pricing Vulnerable Options with Jump Clustering pp. 1155-1178

Yong Ma, Keshab Shrestha and Weidong Xu

Oil and stock markets before and after financial crises: A local Gaussian correlation approach pp. 1179-1204

Georgios Bampinas and Theodore Panagiotidis

Do futures prices help forecast the spot price? pp. 1205-1225

Xin Jin

Do trend following strategies work in Chinese futures markets? pp. 1226-1254

Bin Li, Di Zhang and Yang Zhou

Volume 37, issue 11, 2017

Informed Trading in the Options Market and Stock Return Predictability pp. 1053-1093

JoongHo Han, Da‐Hea Kim and Suk‐Joon Byun

Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market pp. 1094-1123

Junmao Chiu, Huimin Chung and George H. K. Wang

A Multivariate Markov Regime‐Switching High‐Frequency‐Based Volatility Model for Optimal Futures Hedging pp. 1124-1140

Yu‐Sheng Lai, Her‐Jiun Sheu and Hsiang‐Tai Lee

Forecasting the volatility of Nikkei 225 futures pp. 1141-1152

Manabu Asai and Michael McAleer

Volume 37, issue 10, 2017

Editor's Note pp. 963-963

Robert I. Webb

The joint credit risk of UK global‐systemically important banks pp. 964-988

Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao

The dynamic correlations between the G7 economies and China: Evidence from both realized and implied volatilities pp. 989-1002

Xingguo Luo and Xuyuanda Qi

Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies pp. 1003-1030

Na Tan, Yulei Peng, Yanchu Liu and Zhewen Pan

The effects of investor attention on commodity futures markets pp. 1031-1049

Liyan Han, Ziying Li and Libo Yin

Volume 37, issue 9, 2017

An Empirical Analysis of the Dynamic Probability of Informed Institutional Trading: Evidence from the Taiwan Futures Exchange pp. 865-891

Pei‐Shih Weng, Ming‐Hung Wu, Miao‐Ling Chen and Wei-Che Tsai

Option Introductions and the Skewness of Stock Returns pp. 892-912

Benjamin Blau and Ryan Whitby

A Bivariate High‐Frequency‐Based Volatility Model for Optimal Futures Hedging pp. 913-929

Yu‐Sheng Lai and Donald Lien

Trading Activity and Rate of Convergence in Commodity Futures Markets pp. 930-938

David Bosch and Elina Pradkhan

Investors’ Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns pp. 939-960

Hsiu‐Chuan Lee, Tzu‐Hsiang Liao and Pao‐Ying Tung

Volume 37, issue 8, 2017

Editor's Note pp. 743-743

Robert I. Webb

Sugar with your Coffee? Fundamentals, Financials, and Softs Price Uncertainty pp. 744-765

Genèvre Covindassamy, Michel Robe and Jonathan Wallen

Macroeconomic Conditions and Credit Default Swap Spread Changes pp. 766-802

Tong Suk Kim, Jae Won Park and Yuen Jung Park

Momentum in International Commodity Futures Markets pp. 803-835

Jangkoo Kang and Kyung Yoon Kwon

The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns pp. 836-861

Gi H. Kim, Haitao Li and Weina Zhang

Volume 37, issue 7, 2017

Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model pp. 641-659

Tianyi Wang, Yiwen Shen, Yueting Jiang and Zhuo Huang

Investor Sentiment and Credit Default Swap Spreads During the Global Financial Crisis pp. 660-688

Jeehye Lee, Sol Kim and Yuen Jung Park

Expanding the Explanations for the Return–Volatility Relation pp. 689-716

Bakhtear Talukdar, Robert T. Daigler and A. M. Parhizgari

Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery? pp. 717-740

Sungbin Sohn and Xiaofeng Zhang

Volume 37, issue 6, 2017

Editor's Note pp. 541-541

Robert I. Webb

VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets pp. 542-577

Johan Bjursell, George H. K. Wang and Hui Zheng

The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets pp. 578-598

Myeong‐Hyeon Kim, Changki Kim and Injun Hwang

Equity Option Implied Probability of Default and Equity Recovery Rate pp. 599-613

Bo Young Chang and Greg Orosi

Anchoring and Probability Weighting in Option Prices pp. 614-638

Jared DeLisle, Dean Diavatopoulos, Andy Fodor and Kevin Krieger

Volume 37, issue 5, 2017

Tail Wags Dog: Intraday Price Discovery in VIX Markets pp. 431-451

Nicolas P.B. Bollen, Michael J. O'Neill and Robert E. Whaley

Variance Risk Premiums of Commodity ETFs pp. 452-472

Chyng Wen Tee and Christopher Ting

Option Market Characteristics and Price Monotonicity Violations pp. 473-498

Heejin Yang, Hyung‐Suk Choi and Doojin Ryu

The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk pp. 499-521

Xingchun Wang, Shiyu Song and Yongjin Wang

Convenience Yields in Electricity Prices: Evidence from the Natural Gas Market pp. 522-538

Nikolaos Milonas and Nikolaos Paratsiokas

Volume 37, issue 4, 2017

Editor's Note pp. 315-315

Robert I. Webb

Derivatives Valuation Based on Arbitrage: The Trade is Crucial pp. 316-327

Stephen Figlewski

Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach pp. 328-358

Zhuo Huang, Tianyi Wang and Peter Hansen

Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence pp. 359-373

Alex Frino, Vito Mollica, Maria Romano and Zeyang Zhou

AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism pp. 374-410

Zhenlong Zheng, Zhengyun Jiang and Rong Chen

Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash pp. 411-428

Qian Han and JuFang Liang

Volume 37, issue 3, 2017

The Skewness Implied in the Heston Model and Its Application pp. 211-237

Jin E. Zhang, Fang Zhen, Xiaoxia Sun and Huimin Zhao

Net Buying Pressure and Option Informed Trading pp. 238-259

Chao‐Chun Chen and Shih‐Hua Wang

Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model pp. 260-285

José Da Fonseca and Riadh Zaatour

Volatility Smile and One‐Month Foreign Currency Volatility Forecasts pp. 286-312

Alfred Huah‐Syn Wong and Richard A. Heaney

Volume 37, issue 2, 2017

Option Pricing with Threshold Mean Reversion pp. 107-131

Zeyu Chi, Fangyuan Dong and Hoi Ying Wong

Cross‐Hedging Ambiguous Exchange Rate Risk pp. 132-147

Kit Pong Wong

Differences in the Prices of Vulnerable Options with Different Counterparties pp. 148-163

Xingchun Wang

VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy pp. 164-183

Christoffer Bordonado, Peter Molnár and Sven R. Samdal

Trading the VIX Futures Roll and Volatility Premiums with VIX Options pp. 184-208

David P. Simon

Volume 37, issue 1, 2017

Does Option‐Implied Cross‐Sectional Return Dispersion Forecast Realized Cross‐Sectional Return Dispersion? Evidence From the G10 Currencies pp. 3-22

Klaus Grobys and Jari‐Pekka Heinonen

Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets pp. 23-51

Cyn-Young Park, Rogelio Mercado, Jaehun Choi and Hosung Lim

Price Discovery on the International Soybean Futures Markets: A Threshold Co‐Integration Approach pp. 52-70

Chao Li and Dermot Hayes

Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps? pp. 71-89

Kam Fong Chan and Philip Gray

The Binomial CEV Model and the Greeks pp. 90-104

Aricson Cruz and José Carlos Dias