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October 1991, Volume 11, Issue 5
- 591-601 Do treasury bill futures rates satisfy rational expectation properties?
by C. Steven Cole & Michael Impson & William Reichenstein - 603-612 Estimation of the optimal hedge ratio, expected utility, and ordinary least squares regression
by John Heaney & Geoffrey Poitras - 613-621 A GARCH examination of the relationship between volume and price variability in futures markets
by Mohammad Majand & Kenneth Yung - 623-645 Equilibrium treasury bond futures pricing in the presence of implicit delivery options
by Gerald D. Gay & Steven Manaster - 647-649 The relationship between stock indices and stock index futures from 3:00 to 3:15: A clarification
by Thomas V. Schwarz
August 1991, Volume 11, Issue 4
- 399-409 Risk‐return hedging effectiveness measures for stock index futures
by Mary Lindahl - 411-440 Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration
by Robert Brooks - 441-452 Pricing stock index futures with stochastic interest rates
by Nusret Cakici & Sris Chatterjee - 453-460 Determining the relevant fair value(s) of S&P 500 futures: A case study approach
by Ira G. Kawaller - 461-474 Cointegration: Some results on U.S. cattle prices
by David A. Bessler & Ted Covey - 475-490 Alternative commodity trading vehicles: A performance analysis
by Thomas Schneeweis & Uttama Savanayana & David McCarthy - 491-503 An empirical analysis of thrift futures market activity
by J. Austin Murphy - 505-517 Futures bibliography
by Robert T. Daigler
June 1991, Volume 11, Issue 3
- 259-270 Portfolio analysis of stocks, bonds, and managed futures using compromise stochastic dominance
by Daniel Fischmar & Carl Peters - 271-289 The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures
by A. G. Malliaris & Jorge L. Urrutia - 291-311 The intraday ex post and ex ante profitability of index arbitrage
by Robert C. Klemkosky & Jae Ha Lee - 313-317 A note on the effects of the initiation of major market index futures on the daily returns of the component stocks
by Francis E. Laatsch - 319-330 Futures option expirations and volatility in the stock index futures market
by G. D. Hancock - 331-345 Measuring seasonalities in commodity markets and the half‐month effect
by Nikolaos T. Milonas - 347-369 Hedging strategies for exports of cereals and cereal products to the European community
by Francesco S. Braga & Larry J. Martin - 371-384 Reduction in hedging risk from adjusting for autocorrelation in the residuals of a price level regression
by Emmett Elam - 385-397 Cold fusion—hot metal: An analysis of the metals futures market reactions to the cold fusion announcement
by Stephen R. Hill & Norman H. Moore & Stephen W. Pruitt
April 1991, Volume 11, Issue 2
- 135-151 The effects of regulations on trading activity and return volatility in futures markets
by Stanley R. Pliska & Catherine T. Shalen - 153-163 Futures trading, transaction costs, and stock market volatility
by B. Wade Brorsen - 165-177 Risk premia and price volatility in futures markets
by Jisoo Yoo & G. S. Maddala - 179-190 A test of two models in forecasting stock index futures price volatility
by W. L. Randolph & Mohammad Najand - 191-200 Stock price volatility: Some evidence from an ARCH model
by Brad Baldauf & G. J. Santoni - 201-212 Tailing the hedge: Why and how
by Stephen Figlewski & Yoram Landskroner & William L. Silber - 213-237 Margin requirements and the demand for futures contracts
by L. Kalavathi & Latha Shanker - 239-252 Testing index futures market efficiency using price differences: A critical analysis
by Pradeep K. Yadav & Peter F. Pope - 253-257 The January effect, arbitrage opportunities, and derivative securities: Has anything changed?
by Edwin D. Maberly & Brian A. Maris
February 1991, Volume 11, Issue 1
- 1-8 Index option pricing: Do investors pay for skewness?
by John S. Cotner - 9-24 Systematic skewness in futures contracts
by Joan C. Junkus - 25-37 The soybean complex spread: An examination of market efficiency from the viewpoint of a production process
by Robert L. Johnson & Carl R. Zulauf & Scott H. Irwin & Mary E. Gerlow - 39-53 Estimating time‐varying optimal hedge ratios on futures markets
by Robert J. Myers - 55-68 Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies
by A. G. Malliaris & Jorge Urrutia - 69-80 The informational content of the basis: Evidence from Canadian barley, oats, and canola futures markets
by Nabil T. Khoury & Pierre Yourougou - 81-88 Evidence for a weather persistence effect on the corn, wheat, and soybean growing season price dynamics
by Stanley C. Stevens - 89-93 Pricing cross‐currency options
by John Rumsey - 95-111 Index futures, program trading, and the covariability of the major market index stocks
by John D. Martin & A. J. Senchack Jr. - 113-115 The relationship between forward and futures contracts: A comment
by Bjorn Flesaker - 117-120 A note on the role of futures indivisibility: Reconciling the theoretical literature
by Michael A. Polakoff - 121-133 Futures bibliography
by Robert T. Daigler
December 1990, Volume 10, Issue 6
- 567-571 Public policy intervention through futures market operations
by James T. Moser - 573-603 Stock index futures arbitrage: International evidence
by Pradeep K. Yadav & Peter F. Pope - 605-610 Price forecasts and interest rate forecasts: An extension of levy's hypothesis
by Lloyd P. Blenman - 611-621 The supply of storage in energy futures markets
by Dong W. Cho & Gerald S. McDougall - 623-641 The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes
by Roger Fujihara & Keehwan Park - 643-659 The distribution of gold futures spreads
by Geoffrey Poitras - 661-671 The intraday behavior of commodity futures prices
by Terrence F. Martell & Ruben C. Trevino - 673-674 Limit moves and price resolution: The case of the treasury bond futures market: A comment
by Gregory J. Kuserk
October 1990, Volume 10, Issue 5
- 443-455 On valuing complex interest rate claims
by Peter Ritchken & L. Sankarasubramanian - 457-467 An examination of basis risk due to estimation
by James T. Moser & Billy Helms - 469-479 The efficiency of the U.S. dollar index futures market
by Giora Harpaz & Steven Krull & Joseph Yagil - 481-496 A discretionary approach to hedging a lender's exposure in adjustable rate mortgages
by Thomas F. Gosnell & Andrea J. Heuson - 497-504 Hedge ratios under inherent risk reduction in a commodity complex
by Dah‐Nein Tzang & Raymond M. Leuthold - 505-517 Options and investment strategies
by Bernard Morard & Ahmed Naciri - 519-533 Commodity convenience yields as an option profit
by Robert Heinkel & Maureen E. Howe & John S. Hughes - 535-540 Corporate taxes and hedging with futures
by T. Hanan Eytan - 541-554 Margin requirements in futures markets: Their relationship to price volatility
by Raymond P. H. Fishe & Lawrence G. Goldberg & Thomas F. Gosnell & Sujata Sinha - 555-562 Testing unbiasedness in futures markets: A clarification
by Scott E. Hein & Christopher K. Ma & S. Scott MacDonald - 563-565 Futures bibliography
by Robert T. Daigler
August 1990, Volume 10, Issue 4
- 327-338 Option pricing with futures‐style margining
by Derming Lieu - 339-352 Put‐call‐futures parity and arbitrage opportunity in the market for options on gold futures contracts
by Richard A. Followill & Billy P. Helms - 353-366 Alternative estimates of weighted implied volatilities from soybean and live cattle options
by Calum G. Turvey - 367-375 Premiums on stock index futures‐some evidence
by Swati Bhatt & Nusret Cakici - 377-395 The relative responsiveness to information and variability of storable commodity spot and futures prices
by Dean Leistikow - 397-405 Forecasting accuracy and development of a financial market: The treasury bill futures market
by Avraham Kamara - 407-423 International trading/nontrading time effects on risk estimation in futures markets
by Joanne Hill & Thomas Schneeweis & Jot Yau - 425-441 Estimation and revision of a sequential auction model for the soybean futures current contract
by William D. O'Neill
June 1990, Volume 10, Issue 3
- 211-228 Analyzing biases in valuation models of options on futures
by James Eales & Robert J. Hauser - 229-245 Out of sample effectiveness of a joint commodity and currency hedge: The case of soybean meal in Italy
by Francesco S. Braga & Larry J. Martin - 247-258 Optimal portfolios for commodity futures funds
by B. Wade Brorsen & Louis P. Lukac - 259-271 Basis risk and optimal decision making for California feedlots
by Timothy Park & Frances Antonovitz - 273-285 The relationship between the volatilities of the S&P 500 index and futures contracts implicit in their call option prices
by Li‐Ming Han & Lalatendu Misra - 287-306 Commodity futures cross hedging of foreign exchange exposure
by Bruce A. Benet - 307-321 An intertemporal measure of hedging effectiveness
by Jack S. K. Chang & Hsing Fang - 323-325 Stock index futures, expiration day volatility, and the “special” friday opening: A note
by Anthony F. Herbst & Edwin D. Maberly
April 1990, Volume 10, Issue 2
- 103-111 South African political unrest, oil prices, and the time varying risk premium in the gold futures market
by Michael Melvin & Jahangir Sultan - 113-121 Potential use of futures markets for international marketing of cǒcte d'Ivoire coffee
by Korotoumou Ouattara & Ted C. Schroeder & L. Orlo Sorenson - 123-136 Dominant‐satellite relationships between live cattle cash and futures markets
by Stephen R. Koontz & Philip Garcia & Michael A. Hudson - 137-152 Testing rationality in futures markets
by Christopher K. Ma & William H. Dare & Darla R. Donaldson - 153-168 Expiration and delivery on the world sugar futures contract
by Sarahelen Thompson & Thomas J. McNeill & James S. Eales - 169-177 Determining futures “hedging reserve” capital requirements
by Steven C. Blank - 179-194 The economics of cash index alternatives
by Lawrence Harris - 195-196 Examining the validity of a test of futures market efficiency: A comment
by Chung‐Hua Shen & Lee‐Rong Wang - 197-200 Hedging canadian corporate debt: A comment and extensions
by Richard Deaves - 201-204 A note on hedging performance and portfolio effects
by Da‐Hsiang Donald Lien - 205-209 Futures bibliography
by Robert T. Daigler
February 1990, Volume 10, Issue 1
- 1-12 An empirical analysis of bank hedging in futures markets
by G. D. Koppenhaver - 13-27 Information content of volatilities implied by option premiums in grain futures markets
by William W. Wilson & Hung‐Gay Fung - 29-39 Risk and return in copper, platinum, and silver futures
by Eric C. Chang & Chao Chen & Son‐Nan Chen - 41-60 Does futures trading destabilize cash prices? Evidence for U. S. live beef cattle
by Robert D. Weaver & Aniruddha Banerjee - 61-73 The hedging effectiveness of options and futures: A mean‐gini approach
by C. Sherman Cheung & Clarence C. Y. Kwan & Patrick C. Y. Yip - 75-78 An empirical note on hedging mortgages with puts
by Austin Murphy & Douglas Gordon - 79-88 U.S. futures exchanges as nonprofit entities
by Scott Chambers & Colin Carter - 89-95 Entry‐deterring contract specification on futures markets
by Da‐Hsiang Donald Lien - 97-102 Futures bibliography
by Robert T. Daigler
December 1989, Volume 9, Issue 6
- 487-505 Insuring banks against systematic credit risk
by David F. Babbel - 507-518 Nonlinearities and chaotic effects in options prices
by Robert Savit - 519-528 Frequency and duration of profitable hedging margins for texas cotton producers, 1980–1986
by Wendell C. Wood & Carl E. Shafer & Carl G. Anderson - 529-537 Hedging in the treasury bill futures market when the hedged instrument and the deliverable instrument are not matched
by George M. McCabe & Donald P. Solberg - 539-545 Yield opportunities and hedge ratio considerations with fixed income cash‐and‐carry trades
by Ira G. Kawaller & Timothy W. Koch - 547-563 Production and hedging decisions in the presence of basis risk
by Jacob Paroush & Avner Wolf - 565-571 Gambler's ruin and optimal stop loss strategy
by Gang Shyy - 573-581 A supply of storage theory with asymmetric information
by Nabil T. Khoury & Jean‐Marc Martel - 583-588 Sampled data as a basis of cash settlement price
by Da‐Hsiang Donald Lien
October 1989, Volume 9, Issue 5
- 365-375 An empirical investigation of the early exercise premium of foreign currency options
by Philippe Jorion & Neal M. Stoughton - 377-391 Price discovery and hedging in the sunflower market
by William W. Wilson - 393-419 Forecasting efficiency of energy futures prices
by Cindy W. Ma - 421-437 On the value of the implicit delivery options
by Shantaram P. Hegde - 439-448 Configurations for arbitrage using financial futures contracts
by Adrian S. Yano - 449-459 An analysis of index option pricing
by John S. Cotner & James F. Horrell - 461-467 Exchange memberships: An overview of the issues pertaining to the property rights of a bankrupt member and his creditors
by James J. Moylan & Laren A. Ukman & Peter S. Lake - 469-475 Measuring hedging effectiveness with R-super-2: A note
by Mary Lindahl
August 1989, Volume 9, Issue 4
- 273-282 The live cattle futures market and daily cash price movements
by B. Wade Brorsen & Charles M. Oellermann & Paul L. Farris - 283-295 The market for japanese stock index futures: Some preliminary evidence
by Warren Bailey - 297-305 Evidence on the effect of information and noise trading on intraday gold futures returns
by Beni Lauterbach & Margaret Monroe - 307-319 Performance of estimated hedging ratios under yield uncertainty
by Stephen E. Miller & Kandice H. Kahl - 321-335 Limit moves and price resolution: The case of the treasury bond futures market
by Christopher K. Ma & Ramesh P. Rao & R. Stephen Sears - 337-345 Effects of expected cash and futures prices on hedging and production: Comments and extensions
by Ardeshir J. Dalal & Bala G. Arshanapalli - 347-353 Arbitrage opportunities between thin and liquid futures markets
by Colin A. Carter - 355-358 Optical settlement specification on futures contracts
by Da‐Hsiang Donald Lien
June 1989, Volume 9, Issue 3
- 185-197 Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures
by A. F. Herbst & D. D. Kare & S. C. Caples - 199-213 Memory and equilibrium futures prices
by David H. Goldenberg - 215-224 The optimal maturity of hedges and participation of hedgers in futures and forward markets
by C. T. Shalen - 225-236 Liquidity costs and scalping returns in the corn futures market
by B. Wade Brorsen - 237-248 Cash settlement issues for live cattle futures contracts
by Kandice H. Kahl & Michael A. Hudson & Clement E. Ward - 249-262 Futures rates and forward rates as predictors of near‐term treasury bill rates
by S. Scott MacDonald & Scott E. Hein - 263-270 Cash settlement provisions on futures contracts
by Da‐Hsiang Donald Lien - 271-272 The relationship between stock indices and stock index futures from 3:00–3:15: A note
by Edwin D. Maberly
April 1989, Volume 9, Issue 2
- 87-99 Cross hedging the Italian Lira/US dollar exchange rate with deutsch mark futures
by Francesco S. Braga & Larry J. Martin & Karl D. Meilke - 101-111 Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects
by John J. Merrick Jr. - 113-121 Price discovery for feeder cattle
by Charles M. Oellermann & B. Wade Brorsen & Paul L. Farris - 123-133 Optimal futures spread positions
by Geoff Poitras - 135-141 Determinants of an individual's demand for hedging instruments
by Rafael Eldor & David Pines & Abba Schwartz - 143-162 Investment decision making with index futures and index futures options
by Robert Brooks - 163-170 Optimal hedging and spreading on wheat futures markets
by Da‐Hsiang Donald Lien - 171-173 A note on the relationship between forward and futures contracts
by Azriel Levy - 175-177 The daily effect in the gold market: A reply
by Christopher K. Ma & G. Wenchi Wong & Edwin D. Maberly
February 1989, Volume 9, Issue 1
- 1-13 A theory of negative prices for storage
by Brian D. Wright & Jeffrey C. Williams - 15-27 Complex hedges: How well do they work?
by Dwight Grant & Mark Eaker - 29-39 Hedging canadian corporate debt: A comparative study of the hedging effectiveness of Canadian and U.S. bond futures
by Louis Gagnon & Samuel Mensah & Edward H. Blinder - 41-54 Pricing and hedging capped options
by Phelim P. Boyle & Stuart M. Turnbull - 55-65 The usefulness of historical data in selecting parameters for technical trading systems
by Louis P. Lukac & B. Wade Brorsen - 67-75 Optimal cross‐hedge portfolios for hedging stock index options
by Michael J. Alderson & Terry L. Zivney - 77-86 An analysis of intra‐market spreads in heating oil futures
by Peter A. Abken - 77-86 An analysis of intra‐market spreads in heating oil futures
by Peter A. Abken
December 1988, Volume 8, Issue 6
- 639-655 Extreme price movements and margin levels in futures markets
by Franklin R. Edwards & Salih N. Neftci - 657-686 Hedging and risk aversion in the foreign currency market
by Jerry A. Hammer - 687-702 Hedger response to multiple grades of delivery on futures markets
by Da‐Hsiang Donald Lien - 703-715 Hedging foreign exchange risk with currency futures: Portfolio effects
by Gregory J. Lypny - 717-722 A monthly effect in commodity price changes: A note
by Eric C. Chang - 723-724 The other friday “bull” effect: A chance occurrence or the harbinger of yet another puzzling anomaly? a note!
by Edwin D. Maberly - 725-733 Futures Bibliography
by Robert T. Daigler
October 1988, Volume 8, Issue 5
- 517-532 Optimal exercise of the switching option in treasury bond arbitrages
by Theodore M. Barnhill & William E. Seale - 533-561 Daily trading estimates for treasury bond futures contract prices
by Karin Peterson LaBarge - 563-573 Cash‐futures arbitrage and forward‐futures spreads in the treasury bill market
by Linda Allen & Thom Thurston - 575-588 Indeterminacy of price and quantity in futures markets
by Margaret A. Monroe - 589-616 Commodity pool performance: Is the information contained in pool prospectuses useful?
by Franklin R. Edwards & Cindy Ma - 617-637 Commodity pool operators and their pools: Expenses and profitability
by Ronald W. Cornew
August 1988, Volume 8, Issue 4
- 391-412 Index futures, program trading, and stock market procedures
by Hans R. Stoll - 413-419 Program trading and stock and futures price volatility
by Sanford J. Grossman - 421-439 Futures trading and cash market volatility: Stock index and interest rate futures
by Franklin R. Edwards - 441-455 Portfolio insurance with stock index futures
by John J. Merrick Jr. - 457-481 Optimal bank asset and liability management with financial futures
by Abraham I. Brodt - 483-510 Commodity futures prices and economic news: An examination under alternative monetary regimes
by Scott W. Barnhart - 511-516 Futures Bibliography
by Robert T. Daigler
June 1988, Volume 8, Issue 3
- 249-269 Hedging with futures in an intertemporal portfolio context
by Michael Adler & Jerome Detemple - 271-290 When random is not random: An introduction to chaos in market prices
by Robert Savit - 291-302 On the possible tax‐driven arbitrage opportunities in the new municipal bond futures contract
by Hal Heaton - 303-318 The pricing and performance of stock index futures spreads
by Randall S. Billingsley & Don M. Chance - 319-334 Effectiveness of hedging interest rate risks and stock market risks with financial futures
by Michel Fortin & Nabil T. Khoury - 335-352 The hedging performance of ECU futures contracts
by Anthony Saunders & Stanley Sienkiewicz - 353-363 A risk premium under uncertain inflation: The inflation futures evidence
by Chen‐Chin Chu - 365-372 Examining the validity of a test of futures market efficiency
by Emmett Elam & Bruce L. Dixon - 373-388 American vs. European options on the value line index
by Nusret Cakici & T. Hanan Eytan & Giora Harpaz - 389-390 A further investigation of the day‐of‐the‐week effect in the gold market: A comment
by Anthony F. Herbst & Edwin D. Maberly
April 1988, Volume 8, Issue 2
- 127-139 The pricing of dollar index futures contracts
by T. Hanan Eytan & Giora Harpaz & Steven Krull - 141-156 Comparison of selective hedging and options strategies in cattle feedlot risk management
by Ted C. Schroeder & Marvin L. Hayenga - 157-166 The rationality model revisited
by Edward F. Renshaw - 167-184 Using futures to improve treasury bill portfolio performance
by S. Scott MacDonal & Richard L. Peterson & Timothy W. Koch - 185-198 Empirical tests of boundary conditions for options on treasury bond futures contracts
by Edward C. Blomeyer & James C. Boyd - 199-209 Arbitrage opportunities in metal futures markets
by Christopher K. Ma & Luc A. Soenen - 211-228 An empirical examination of composite stock index futures pricing
by Edward M. Saunders Jr. & Arvind Mahajan - 229-241 Day of the week effects and commodity price changes
by Eric C. Chang & Chan‐Wung Kim - 243-247 Futures Bibliography
by Robert T. Daigler
February 1988, Volume 8, Issue 1
- 1-13 Similarity of computer guided technical trading systems
by Louis P. Lukac & B. Wade Brorsen & Scott H. Irwin - 15-31 Portfolio insurance trading rules
by Richard Bookstaber & Joseph A. Langsam - 33-46 Evaluating the performance of stock portfolios with index futures contracts
by Robert Brooks & John Hand - 47-65 Option price behavior in grain futures markets
by William W. Wilson & Hung‐Gay Fung & Michael Ricks - 67-77 A semi‐strong test of the efficiency of the aluminum and copper markets at the LME
by Martin Gross - 79-87 Risk and return in cattle and hog futures
by Emmett W. Elam & Daniel Vaught - 89-97 Undated futures markets
by Adam K. Gehr Jr. - 99-102 A note: Do futures prices always reflect the cheapest deliverable grade of the commodity?
by Betsey A. Kuhn - 103-113 Note on trader concentration effects in feeder cattle futures and comparison with live cattle
by Charles M. Oellermann & Paul L. Farris - 115-121 The “weekend effect” for stock indexes and stock index futures: Dividend and interest rate effects
by Frederick J. Phillips‐Patrick & Thomas Schneeweis - 123-126 Futures Bibliography
by Robert T. Daigler