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June 1995, Volume 15, Issue 4
- 423-455 Index arbitrage as cross‐sectional market making
by Craig W. Holden - 457-488 Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets
by Abhay H. Abhyankar - 489-506 Price movements and price discovery in the municipal bond index and the index futures markets
by Mao‐Wei Hung & Hua Zhang
May 1995, Volume 15, Issue 3
- 211-264 The collapse of Metallgesellschaft: Unhedgeable risks, poor hedging strategy, or just bad luck?
by Franklin R. Edwards & Michael S. Canter - 265-302 Predicting stock market volatility: A new measure
by Jeff Fleming & Barbara Ostdiek & Robert E. Whaley - 303-344 Some easy‐to‐implement methods of calculating American futures option prices
by M. M. Chaudhury - 345-372 A two‐factor, preference‐free model for interest rate sensitive claims
by Ren‐Raw Chen
April 1995, Volume 15, Issue 2
- 101-110 Import and hedging uncertainty in international trade
by Avner Wolf - 111-129 The welfare costs of Arkansas Best: The inefficiency of asymmetric taxation of hedging gains and losses
by Craig Pirrong - 131-166 Conditional dynamics and optimal spreading in the precious metals futures markets
by Mahmoud Wahab - 167-186 The effectiveness of arbitrage and speculation in the crude oil futures market
by Imad A. Moosa & Nabeel E. Al‐Loughani - 187-200 Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market
by Tae H. Park & Lorne N. Switzer - 201-209 Futures bibliography
by Robert T. Daigler
February 1995, Volume 15, Issue 1
- 1-11 Exporting and hedging decisions with a foward currency market: The multiperiod case
by Guillermo Donoso - 13-38 Mixed manipulation strategies in commodity futures markets
by Stephen Craig Pirrong - 39-44 A risk‐return measure of hedging effectiveness: A simplification
by Cheng‐Kun Kuo & Keng‐Wang Chen - 45-59 Price limits as an explanation of thin‐tailedness in pork bellies futures prices
by Seung‐Ryong Yang & B. Wade Brorsen - 61-67 Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note
by Tae H. Park & Lorne N. Switzer - 69-86 Analysis of spreads in agricultural futures
by W. Brian Barrett & Robert W. Kolb - 87-99 Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB
by Gang Shyy & Jie‐Haun Lee
December 1994, Volume 14, Issue 8
- 877-890 Price equilibrium and transmission in a controlled economy: A case study of the metal exchange in China
by Gang Shyy & Bob Butcher - 891-913 Forwards or options? Nesting procedures for “fire and forget” commodity hedging
by Roger J. Bowden - 915-925 Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987
by Bala Arshanapalli & John Doukas - 927-955 Multiperiod hedging in the presence of conditional heteroskedasticity
by Donald Lien & Xiangdong Luo - 957-962 On the arbitrage‐free pricing relationship between index futures and index options: A note
by Joseph K. W. Fung & Kam C. Chan
October 1994, Volume 14, Issue 7
- 773-787 Systematic risk and returns to stock index futures contracts: International evidence
by Antonios Antoniou & Phil Holmes - 789-811 The performance of S&P 500 futures product margins under the SPAN margining system
by Paul H. Kupiec - 813-836 Futures pricing and the cost of carry under price limits
by Don M. Chance - 837-859 An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market
by George H. K. Wang & Raphael J. Michalski & James V. Jordan & Eugene J. Moriarty - 861-875 The forecasting performance of livestock futures prices: A comparison to USDA expert predictions
by Scott H. Irwin & Mary E. Gerlow & Te‐Ru Liu
September 1994, Volume 14, Issue 6
- 637-659 (Micro) fads in asset prices: Evidence from the futures market
by Gerald D. Gay & Jayant R. Kale & Robert W. Kolb & Thomas H. Noe - 661-684 Should actively traded futures contracts come under the dual‐trading ban?
by Sugato Chakravarty - 685-707 A new measure to compare the hedging effectiveness of foreign currency futures versus options
by Chin‐Wen Hsln & Jerry Kuo & Cheng‐Few Lee - 709-756 The gold‐silver spread: Integration, cointegration, predictability, and ex‐ante arbitrage
by Mahmoud Wahab & Richard Cohn & Malek Lashgari - 757-771 Further evidence on parity relationships in options on S&P 500 index futures
by Patrick H. Marchand & James T. Lindley & Richard A. Followill
August 1994, Volume 14, Issue 5
- 511-529 A time series test of calendar seasonalities in the S&P 500 index since the introduction of index derivative securities
by Don Cyr & Tanya Llewellyn - 531-543 Interest rate futures: Evidence on forecast power, expected premiums, and the unbiased expectations hypothesis
by Tim Krehbiel & Lee C. Adkins - 545-573 Multiple delivery points, pricing dynamics, and hedging effectiveness in futures markets for spatial commodities
by Stephen Craig Pirrong & Roger Kormendi & Philip Meguire - 575-596 The pricing of municipal bond index futures
by Thomas R. Hamilton & Scott E. Hein & Timothy W. Koch - 597-617 A nonstationary trinomial model for the valuation of options on treasury bond futures contracts
by Ehud I. Ronn & Robert R. Bliss Jr. - 619-635 Nonconstant optimal hedge ratio estimation and nested hypotheses tests
by Kevin P. McNew & Paul L. Fackler
June 1994, Volume 14, Issue 4
- 379-404 Trade deficit announcements and exchange rate volatility: Evidence from the spot and futures markets
by Jahangir Sultan - 405-419 Examining the dependency in intra‐day stock index futures
by Hung‐Gay Fung & Wai‐Chung Lo & John E. Peterson - 421-436 Competing derivative equity instruments: Empirical evidence on hedged portfolio performance
by G. D. Hancock & P. D. Weise - 437-455 Estimating the effective BID/ASK spread from time and sales data
by Tom Smith & Robert E. Whaley - 457-474 A time series approach to testing for market linkage: Unit root and cointegration tests
by George H. K. Wang & Jot Yau - 475-492 The informational content of USDA crop reports: Impacts on uncertainty and expectations in grain futures markets
by Kevin P. McNew & Juan Andres Espinosa - 493-510 The effect of CME rule 552 on dual traders
by Eric C. Chang & Peter R. Locke & Steven C. Mann
May 1994, Volume 14, Issue 3
- 259-273 Forecasting the nearby basis of live cattle
by Shi‐Miin Liu & B. Wade Brorsen & Charles M. Oellermann & Apul L. Farris - 275-292 Triple‐witching hour, the change in expiration timing, and stock market reaction
by Chao Chen & James Williams - 293-322 Using intraday data to test for effects of index futures on the underlying stock markets
by Hong Chol & Avanidhar Subrahmanyam - 323-346 Assessing the intraday relationship between implied and historical volatility
by Ira G. Kawaller & Paul D. Koch & John E. Peterson - 347-361 Cash settlement as an alternative settlement mechanism for the live hog futures contract
by Kevin L. Kimle & Marvin L. Hayenga - 363-378 Comparative pricing of American and European index options: An empirical analysis
by Paul Dawson
April 1994, Volume 14, Issue 2
- 121-146 Preliminary evidence on a new market: The futures on the Italian treasury bonds
by Marcello Esposito & Claudio Giraldi - 147-167 Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis
by Thomas V. Schwarz & Andrew C. Szakmary - 169-181 Fractal structure in currency futures price dynamics
by Hsing Fang & Kon S. Lai & Michael Lai - 183-213 Options on futures spreads: Hedging, speculation, and valuation
by David C. Shimko - 215-235 Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples
by Stephen J. Taylor - 237-258 The cost of hedging and the optimal hedge ratio
by Charles T. Howard & Louis J. D'Antonio
February 1994, Volume 14, Issue 1
- 1-24 Analytic approximation of the optimal exercise boundaries for american future options
by Joon Kim - 25-36 Prediction of future currency exchange rates from current currency futures prices: The case of GM and JY
by George Y. Jabbour - 37-50 Forecasting interest rates with eurodollar futures rates
by C. Steven Cole & William Reichenstein - 51-78 The effect of market opening and closing on the volatility of eurodollar futures prices
by Robert I. Webb & David G. Smith - 79-101 A reexamination of put‐call parity on index futures
by Joel S. Sternberg - 103-109 Dependence in commodity prices: A comment
by William O. Tomek - 111-116 Upper bounds for american futures options: A note
by Mohammed M. Chaudhury & Jason Wei - 117-119 A note on the crash and participation in stock index futures
by James T. Moser
December 1993, Volume 13, Issue 8
- 837-847 Hedge ratios and basis behavior: An intuitive insight?
by Carl E. Shafer - 849-864 Robust live hog pricing strategies under uncertain prices and risk preferences
by Brian D. Adam & Philip Garcia & Robert J. Hauser - 865-872 Memory in interest rate futures
by Hung‐Gay Fung & Wai‐Chung Lo - 873-887 Impacts of shifts in uncertainty on spot and futures price change serial correlation and standardized covariation measures
by Dean Leistikow - 889-902 A transactions data analysis of arbitrage between index options and index futures
by Jae Ha Lee & Nandkumar Nayar - 903-907 An alternative formulation on the pricing of foreign currency options
by Raymond Chiang & John Okunev - 909-920 Estimating multiperiod hedge ratios in cointegrated markets
by Donald Lien & Xiangdong Luo - 921-932 An examination of cointegration relations between futures and local grain markets
by T. Randall Fortenbery & Hector O. Zapata - 933-941 A cointegration test for oil futures market efficiency
by William J. Crowder & Anas Hamed - 943-945 Futures bibliography
by Robert T. Daigler
October 1993, Volume 13, Issue 7
- 711-742 Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach
by Mahmoud Wahab & Malek Lashgari - 743-752 Hedging with stock index futures: Estimation and forecasting with error correction model
by Asim Ghosh - 753-763 Cointegration tests of the unbiased expectations hypothesis in metals markets
by Tim Krehbiel & Lee C. Adkins - 765-779 Reliability of soybean and corn option‐based probability assessments
by Elvira Maria de Sousa Silva & Kandice H. Kahl - 781-797 An empirical examination of interest‐rate futures prices
by Andrew H. Chen & Marcia Millon Cornett & Prafulla G. Nabar - 799-820 Investment performance of public commodity pools: 1979‐1990
by Scott H. Irwin & Terry R. Krukemyer & Carl R. Zulauf - 821-836 A theoretical comparison of composite index futures contracts
by Donald Lien & Xiangdong Luo
September 1993, Volume 13, Issue 6
- 579-595 Export/Import risks at alternative stages of U.S. grain export trade
by Robert J. Hauser & David Neff - 597-609 Utility maximizing hedge ratios in the extended mean gini framework
by Robert W. Kolb & John Okunev - 611-630 An empirical analysis of risk premia in futures markets
by Hendrik Bessembinder - 631-643 Forecasting S&P and gold futures prices: An application of neural networks
by Gary Grudnitski & Larry Osburn - 645-664 Short sales restrictions and the temporal relationship between stock index cash and derivatives markets
by Vesa Puttonen - 665-676 Estimating the extended mean‐gini coefficient for futures hedging
by Donald Lien & Xiangdong Luo - 677-691 Futures margins and stock price volatility: Is there any link?
by Paul H. Kupiec - 693-702 Delivery and manipulation in futures markets
by Paul L. Fackler - 703-709 Futures bibliography
by Robert T. Daigler
August 1993, Volume 13, Issue 5
- 441-451 Optimal hedging when preferences are state dependent
by Eric Briys & Harris Schlesinger - 453-467 Seasonal effects in S&P 100 index option returns
by John S. Cotner & Nandkumar Nayar - 469-496 How price discovery by futures impacts the cash market
by James T. Witherspoon - 497-514 Feeder cattle cash settlement: Hedging risk reduction or illusion?
by Don R. Rich & Raymond M. Leuthold - 515-526 Managing non‐parallel shift risk of yield curve with interest rate futures
by Sang Bin Lee & Seung Hyun Oh - 527-543 Reducing the bias in empirical studies due to limit moves
by Kenneth H. Sutrick - 545-562 Boundary conditions for index options: Evidence from the finnish market
by Vesa Puttonen - 563-577 A modified lattice approach to option pricing
by Yisong Tian
June 1993, Volume 13, Issue 4
- 335-344 State space modeling of price and volume dependence: Evidence from currency futures
by Joseph McCarthy & Mohammad Najand - 345-356 Determinants of agricultural futures price volatilities: Evidence from winnipeg commodity exchange
by Nabil Khoury & Pierre Yourougou - 357-371 Risk premia in the futures and forward markets
by Rick Cooper - 373-388 Hedging and crop insurance
by Geoffrey Poitras - 389-408 Prudential margin policy in a futures‐style settlement system
by George W. Fenn & Paul Kupiec - 409-431 Scalper behavior in futures markets: An empirical examination
by Gregory J. Kuserk & Peter R. Locke - 433-440 Futures bibliography
by Robert T. Daigler
May 1993, Volume 13, Issue 3
- 223-236 A test of the intertemporal hedging model of the commodities futures markets
by Stacie E. Beck - 237-259 Optimal hedging under indivisible choices
by Latha Shanker - 261-277 Circuit breakers and stock market volatility
by G. J. Santoni & Tung Liu - 279-298 The distribution of standardized futures price changes
by Meenakshi Venkateswaran & B. Wade Brorsen & Joyce A. Hall - 299-312 Do the options markets really overreact?
by Fernando Diz & Thomas J. Finucane - 313-324 A multinational examination of international equity and bond investment with currency hedging
by Mark Eaker & Dwight Grant & Nelson Woodard - 325-333 European options on bond futures: A closed form solution
by David Feldman
April 1993, Volume 13, Issue 2
- 115-126 The pricing relationship of eurodollar futures and eurodollar deposit rates
by Hung‐Gay Fung & Wai K. Leung - 127-155 The impact of delivery options on futures prices: A survey
by Don M. Chance & Michael L. Hemler - 157-173 The effects of USDA reports in futures and options markets
by T. Randall Fortenbery & Daniel A. Sumner - 175-191 Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?
by Seung‐Ryong Yang & B. Wade Brorsen - 193-198 Cointegration and error correction models: Intertemporal causality between index and futures prices
by Asim Ghosh - 199-211 An empirical evaluation of treasury‐bill futures market efficiency: Evidence from forecast efficiency tests
by S. Scott MacDonald & Scott E. Hein - 213-222 Regulatory oversight and automated trading design: Elements of consideration
by Andrea M. Corcoran & John C. Lawton
February 1993, Volume 13, Issue 1
- 1-13 Empirical tests of valuation models for options on t‐note and t‐bond futures
by Nusret Cakici & Sris Chatterjee & Avner Wolf - 15-22 Pricing interest rate futures options with futures‐style margining
by Ren‐Raw Chen & Louis Scott - 23-41 Averaging and deferred payment yield agreements
by Peter Ritchken & L. Sankarasubramanian - 43-53 Efficient use of information, convergence adjustments, and regression estimates of hedge ratios
by P. V. Viswanath - 55-60 Hedging risk on futures contracts under stochastic interest rates
by George M. Jabbour & J. Minor Sachlis - 61-75 Putting on the crush: Day trading the soybean complex spread
by Dominic Rechner & Geoffrey Poitras - 77-91 Arbitrage free pricing of interest rate futures and forward contracts
by Bjorn Flesaker - 93-113 Equally open and competitive: Regulatory approval of automated trade execution in the futures markets
by Ian Domowitz
December 1992, Volume 12, Issue 6
- 609-620 Inter‐currency transmission of volatility in Foreign exchange futures
by Mohammad Najand & Hamid Rahman & Kenneth Yung - 621-634 Bid‐ask spreads in financial futures
by Paul A. Laux & A. J. Senchack Jr. - 635-643 Do futures markets react efficiently to predictable errors in Government Announcements?
by David E. Runkle - 645-658 The effect of futures trading on the stability of standard and poor 500 returns
by Avraham Kamara & Thomas W. Miller Jr. & Andrew F. Siegel - 659-677 Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time?
by Ravi Vaidyanathan & Tim Krehbiel - 679-692 Memories, heteroscedasticity, and price limit in Currency futures markets
by G. Wenchi Kao & Christopher K. Ma - 693-703 Optimal hedging with futures contracts: The case for fixed‐income portfolios
by Eric Briys & Dan Pieptea - 705-728 Variability in soybean futures prices: An integrated framework
by Deborah H. Streeter & William G. Tomek
October 1992, Volume 12, Issue 5
- 493-509 Stock index futures listing and structural change in time‐varying volatility
by Sang Bin Lee & Ki Yool Ohk - 511-517 Hedging with synthetics, foreign‐exchange forwards, and the export decision
by Udo F. Broil & Jack E. Wahl - 519-538 Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets
by Christopher K. Ma & Richard L. Peterson & R. Stephen Sears - 539-548 A new look at interest rate futures contracts
by Ren‐Raw Chen - 549-562 Optimal weights and international portfolio hedging with U.S. dollar index futures: An empirical investigation
by Steven Krull & Anoop Rai - 563-574 The behavior of oil futures returns around OPEC conferences
by Richard Deaves & Itzhak Krinsky - 575-585 Impact of the price adjustment process and trading noise on return patterns of grain futures
by Shi‐Miin Liu & Sarahelen Thompson & Paul Newbold - 587-593 A note on the effect of no‐arbitrage conditions
by Da‐Hsiang Donald Lien - 595-601 The informational role of end‐of‐the‐day returns in stock index futures
by Anthony F. Herbst & Edwin D. Maberly - 603-607 Futures Bibliography
by Robert T. Daigler
August 1992, Volume 12, Issue 4
- 365-381 Intraday patterns in the S&P 500 index futures market
by Peter D. Ekman - 383-409 The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures
by Gregory J. Kuserk & Peter R. Locke & Chera L. Sayers - 411-428 A multiperiod model for the selection of a futures portfolio
by John F. Marshall & Anthony F. Herbst - 429-446 Dependence in commodity prices
by Richard L. Peterson & Christopher K. Ma & Robert J. Ritchey - 447-457 A note on constructing spot price indices to approximate futures prices
by John Cita & Donald Lien - 459-473 The theoretical source of autocorrelation in forward and futures price relationships
by Michael A. Polakoff & Fernando Diz - 475-487 Futures prices are not stable‐paretian distributed
by Donald W. Gribbin & Randy W. Harris & Hon‐Shiang Lau - 489-490 Futures bibliography
by Robert T. Daigler
June 1992, Volume 12, Issue 3
- 253-263 Robustness results for regression hedge ratios: Futures contracts with multiple deliverable grades
by P. V. Viswanath & Sris Chatterjee - 265-273 Estimating the volatility of S&P 500 futures prices using the extreme‐value method
by James B. Wiggins - 275-290 Option‐based evidence of the nonstationarity of expected S&P 500 futures price distributions
by Bruce J. Sherrick & Scott H. Irwin & D. Lynn Forster - 291-305 Evidence of chaos in commodity futures prices
by Gregory P. Decoster & Walter C. Labys & Douglas W. Mitchell - 307-327 Hedging with forecasting: A state—space approach to modeling vector‐valued time series
by Tomislav Vukina - 329-338 A reexamination of the systematic downward bias in live cattle futures prices
by Emmett Elam & Chaw Wayoopagtr - 339-360 Constructing accurate cash settlement indices: The role of index specifications
by John Cita & Donald Lien - 361-363 Limit moves and price resolution: A reply
by Christopher K. Ma & Ramesh P. Rao & R. Stephen Sears
April 1992, Volume 12, Issue 2
- 123-137 Dividends and S&P 100 index option valuation
by Campbell R. Harvey & Robert E. Whaley - 139-149 Two‐step testing procedure for price discovery role of futures prices
by Jing Quan - 151-161 Arbitrage and price behavior of the Nikkei stock index futures
by Kian‐Guan Lim - 163-175 Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges
by Bruce A. Benet - 177-186 An empirical evaluation of the extended mean‐gini coefficient for futures hedging
by Robert W. Kolb & John Okunev - 187-201 Hedge effectiveness: Basis risk and minimum‐variance hedging
by Mark G. Castelino - 203-217 Rolling over futures contracts: A note
by Christopher K. Ma & Jeffrey M. Mercer & Matthew A. Walker - 219-236 Ex‐ante hedging strategy selection using foreign‐exchange‐rate forecasting models
by Jerry A. Hammer - 237-251 Effect of institutional realities on dynamic hedging performance for a Grain producer
by Steve Martinez & Kelly D. Zering
February 1992, Volume 12, Issue 1
- 1-9 The profitability of volatility spreads around information releases
by Margaret A. Monroe - 11-18 The significance of hedging capital requirements
by Steven C. Blank - 19-32 Application of mean‐variance analysis to broad‐based futures contracts
by Da‐Hsiang Donald Lien - 33-53 Minimum variance hedge ratios for stock index futures: Duration and expiration effects
by Mary Lindahl - 55-59 Hedge ratios under inherent risk reduction in a commodity complex: An interpretation
by Jacques A. Schnabel - 61-74 Supplementary information and markov processes in Soybean futures trading
by Steven C. Turner & Jack E. Houston & Tommie L. Shepherd - 75-91 Is normal backwardation normal?
by Robert W. Kolb - 93-104 A redetermination of hedging strategies using foreign currency futures contracts and forward markets
by A. F. Herbst & P. E. Swanson & S. C. Caples - 105-115 Optimal futures positions for life insurance companies
by Hamid Rahman & Mohammad Najand - 117-121 Futures Bibliography
by Robert T. Daigler
December 1991, Volume 11, Issue 6
- 651-668 The behavior of “false” futures prices
by Robert I. Webb - 669-683 Dynamic efficiency and price leadership in stock index cash and futures markets
by Thomas V. Schwarz & Francis E. Laatsch - 685-696 Price discovery and cointegration for live hogs
by Ted C. Schroeder & Barry K. Goodwin - 697-710 Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation
by Charles T. Howard & Louis J. D'Antonio - 711-728 “Chaos” in futures markets? A nonlinear dynamical analysis
by Steven C. Blank - 729-736 An empirical test for parities between metal prices at the LME
by Philip Hans Franses & Paul Kofman - 737-750 Price‐risk management with options: Optimal market positions and institutional value
by George W. Ladd & Steven D. Hanson - 751-754 An alternative methodology for measuring expiration day price effects at Friday's close: The expected price reversal—A note
by Anthony F. Herbst & Edwin D. Maberly - 755-761 Futures bibliography
by Robert T. Daigler
October 1991, Volume 11, Issue 5
- 519-537 Dual trading and futures market liquidity: An analysis of three chicago board of trade contract markets
by Michael J. Walsh & Stephen J. Dinehart - 539-555 Prospects for hedging federal farm program budgetary risks
by Richard G. Heifner & Bruce H. Wright & Lynn J. Maish - 557-565 Long hedgers and multiple delivery specifications on futures contracts
by Da‐Hsiang Donald Lien - 567-575 A cointegration test for market efficiency
by Kon S. Lai & Michael Lai - 577-589 Futures market efficiency: Evidence from cointegration tests
by Abdur R. Chowdhury