Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 38, issue 12, 2018

Trader types and fleeting orders: Evidence from Taiwan Futures Exchange pp. 1443-1469

Wei‐Yu Kuo and Ching‐Ting Lin

An efficient and stable method for short maturity Asian options pp. 1470-1486

Rupak Chatterjee, Zhenyu Cui, Jiacheng Fan and Mingzhe Liu

Excess returns to buying low options‐volume stocks and selling high options‐volume stocks: Information or characteristics? pp. 1487-1513

Li Cai and Jian Du

Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model pp. 1514-1532

Donald Lien, Hsiang‐Tai Lee and Her‐Jiun Sheu

The directional information content of options volumes pp. 1533-1548

Doojin Ryu and Heejin Yang

Asymmetric spot‐futures price adjustments in grain markets pp. 1549-1564

Zhige Wu, Alex Maynard, Alfons Weersink and Getu Hailu

Volume 38, issue 11, 2018

Model specification and collateralized debt obligation (mis)pricing pp. 1284-1312

Dan Luo, Dragon Yongjun Tang and Sarah Qian Wang

Equity index futures trading and stock price crash risk: Evidence from Chinese markets pp. 1313-1333

Jinyu Liu and Rui Zhong

Jump risk and option liquidity in an incomplete market pp. 1334-1369

PeiLin Hsieh, QinQin Zhang and Yajun Wang

Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model pp. 1370-1390

Yu‐Sheng Lai

Multivariate constrained robust M‐regression for shaping forward curves in electricity markets pp. 1391-1406

Peter Leoni, Pieter Segaert, Sven Serneels and Tim Verdonck

Volatility and correlation timing: The role of commodities pp. 1407-1439

Panos Pouliasis and Nikos Papapostolou

Volume 38, issue 10, 2018

Price discovery in short‐term interest rate markets: Futures versus swaps pp. 1179-1188

Alex Frino and Michael Garcia

From funding liquidity to market liquidity: Evidence from the index options market pp. 1189-1205

Chunbo Liu, Cheng Zhang and Zhiping Zhou

Information about price and volatility jumps inferred from options prices pp. 1206-1226

Stephen J. Taylor, Chi‐Feng Tzeng and Martin Widdicks

Policy impact on volatility dynamics in commodity futures markets: Evidence from China pp. 1227-1245

Yongmin Zhang, Shusheng Ding and Eric Scheffel

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors pp. 1246-1261

Yang Liu, Liyan Han and Libo Yin

Price discovery in the Chinese gold market pp. 1262-1281

Muzhao Jin, Youwei Li, Jianxin Wang and Yung Chiang Yang

Volume 38, issue 9, 2018

Pairs‐trading and spread persistence in the European stock market pp. 998-1023

Isabel Figuerola‐Ferretti, Ioannis Paraskevopoulos and Tao Tang

Is stock return predictability of option‐implied skewness affected by the market state? pp. 1024-1042

Tong Suk Kim and Heewoo Park

An approximation formula for normal implied volatility under general local stochastic volatility models pp. 1043-1061

Yasaman Karami and Kenichiro Shiraya

A hybrid information approach to predict corporate credit risk pp. 1062-1078

Di Bu, Simone Kelly, Yin Liao and Qing Zhou

What drives informed trading before public releases? Evidence from natural gas inventory announcements pp. 1079-1096

Chen Gu and Alexander Kurov

Good jump, bad jump, and option valuation pp. 1097-1125

Xinglin Yang

VIX futures pricing with conditional skewness pp. 1126-1151

Xinglin Yang and Peng Wang

Modeling temperature behaviors: Application to weather derivative valuation pp. 1152-1175

Jr‐Wei Huang, Sharon S. Yang and Chuang‐Chang Chang

Volume 38, issue 8, 2018

The effect of settlement rules on the incentive to Bang the Close pp. 841-864

Esen Onur and David Reiffen

Market uncertainty and market orders in futures markets pp. 865-880

Matthew C. Chang, Chih‐Ling Tsai, Rebecca Chung‐Fern Wu and Ning Zhu

Volatility jumps and macroeconomic news announcements pp. 881-897

Kam F. Chan and Philip Gray

A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process pp. 898-924

San‐Lin Chung and Jr‐Yan Wang

Short‐selling and credit default swap spreads—Where do informed traders trade? pp. 925-942

Steven Lecce, Andrew Lepone, Michael D. McKenzie, Jin Boon Wong and Jin Y. Yang

Call options with concave payoffs: An application to executive stock options pp. 943-957

Kwangil Bae, Jangkoo Kang and Hwa‐Sung Kim

Modeling VXX pp. 958-976

Sebastian A. Gehricke and Jin E. Zhang

Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing pp. 977-995

Hendrik Hülsbusch and Alexander Kraftschik

Volume 38, issue 7, 2018

Editor's Note pp. 757-757

Robert I. Webb

Volatility discovery and volatility quoting on markets for options and warrants pp. 758-774

Rainer Baule, Bart Frijns and Milena E. Tieves

Should macroeconomic information be released during trading breaks in futures markets? pp. 775-787

Alex Frino and Michael Garcia

Return predictability and contrarian profits of international index futures pp. 788-803

Yiuman Tse

Bank risk, financial stress, and bank derivative use pp. 804-821

Barbara A. Bliss, Jeffrey A. Clark and Jared DeLisle

VIX futures calendar spreads pp. 822-838

Ai Jun Hou and Lars L. Nordén

Volume 38, issue 6, 2018

Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options pp. 627-644

Jaehyuk Choi

Are there gains from using information over the surface of implied volatilities? pp. 645-672

Biao Guo, Qian Han and Hai Lin

Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures pp. 673-695

Stuart Snaith, Neil Kellard and Norzalina Ahmad

The impact of data frequency on market efficiency tests of commodity futures prices pp. 696-714

Xuedong Wu, Jeffrey Dorfman and Berna Karali

Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan pp. 715-730

Ging‐Ginq Pan, Yung‐Ming Shiu and Tu‐Cheng Wu

Central clearing and CDS market quality pp. 731-753

Paulo Silva, Carlos Vieira and Isabel Vieira

Volume 38, issue 5, 2018

Macroeconomic news announcements, systemic risk, financial market volatility, and jumps pp. 513-534

Xin Huang

Determinants of intraday price discovery in VIX exchange traded notes pp. 535-548

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

Price discovery dynamics in European agricultural markets pp. 549-562

Philipp Adämmer and Martin T. Bohl

Asymmetric and nonlinear dynamics in sovereign credit risk markets pp. 563-585

Geoffrey M. Ngene, Parker Benefield and Allen K. Lynch

On full calibration of hybrid local volatility and regime‐switching models pp. 586-606

Xin‐Jiang He and Song‐Ping Zhu

Quadratic approximation of the slow factor of volatility in a multifactor stochastic volatility model pp. 607-624

Gifty Malhotra, R. Srivastava and H. C. Taneja

Volume 38, issue 4, 2018

Editor's Note pp. 424-424

Robert I. Webb

A comprehensive look at the return predictability of variance risk premia pp. 425-445

Suk Joon Byun, Bart Frijns and Tai‐Yong Roh

Currency derivatives for hedging: New evidence on determinants, firm risk, and performance pp. 446-467

Sung C. Bae, Hyeon Sook Kim and Taek Ho Kwon

Investor sentiment and the Chinese index futures market: Evidence from the internet search pp. 468-477

Xiaolin Wang, Qiang Ye, Feng Zhao and Yi Kou

Investor attention and stock market under‐reaction to earnings announcements: Evidence from the options market pp. 478-492

Xuewu Wesley Wang, Zhipeng Yan, Qunzi Zhang and Xuechen Gao

The information content of option‐implied tail risk on the future returns of the underlying asset pp. 493-510

Yaw‐Huei Wang and Kuang‐Chieh Yen

Volume 38, issue 3, 2018

Structural breaks and volatility forecasting in the copper futures market pp. 290-339

Xu Gong and Boqiang Lin

Benchmarking commodity investments pp. 340-358

Jesse Blocher, Ricky Cooper and Marat Molyboga

The weather premium in the U.S. corn market pp. 359-372

Ziran Li, Dermot Hayes and Keri Jacobs

Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures pp. 373-389

Jędrzej Białkowski and Jan Koeman

Optionable Stocks and Mutual Fund Performance pp. 390-412

Chune Young Chung, Doojin Ryu, Kainan Wang and Blerina Zykaj

The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach pp. 413-422

Libing Fang, Baizhu Chen, Honghai Yu and Yichuo Qian

Volume 38, issue 2, 2018

An analysis on the intraday trading activity of VIX derivatives pp. 158-174

Dian‐Xuan Kao, Wei-Che Tsai, Yaw‐Huei Wang and Kuang‐Chieh Yen

Do investors use options and futures to trade on different types of information? Evidence from an aggregate stock index pp. 175-198

Kyoung‐Hun Bae and Peter Dixon

Forecasting using alternative measures of model‐free option‐implied volatility pp. 199-218

Xingzhi Yao and Marwan Izzeldin

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model pp. 219-242

Sepideh Dolatabadi, Paresh Kumar Narayan, Morten Nielsen and Ke Xu

Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market pp. 243-270

Yue Zhao and Difang Wan

Options‐based benchmark indices—A review of performance and (in)appropriate measures pp. 271-288

Markus Natter

Volume 38, issue 1, 2018

Need for speed: Hard information processing in a high‐frequency world pp. 3-21

S. Sarah Zhang

Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market pp. 22-37

Michèle Breton and Ramzi Ben‐Abdallah

The impact of crude oil inventory announcements on prices: Evidence from derivatives markets pp. 38-65

Hong Miao, Sanjay Ramchander, Tianyang Wang and Jian Yang

Are single stock futures used as an alternative during a short‐selling ban? pp. 66-82

Bouchra Benzennou, Owain ap Gwilym and Gwion Williams

Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices pp. 83-103

Rui Fan, Stephen J. Taylor and Matteo Sandri

Catastrophe futures and reinsurance contracts: An incomplete markets approach pp. 104-128

Stylianos Perrakis and Ali Boloorforoosh

Price discovery in dual‐class shares across multiple markets pp. 129-155

Marcelo Fernandes and Cristina M. Scherrer