2017-02-24T14:47:45Z
http://oai.repec.org/oai.php
oai:RePEc:wbk:wbrwps:73302015-06-25RePEc
preprint
A quarter century effort yet to come of age : a survey of power sector reforms in developing countries
It has been more than two decades since the widespread initiation of global power sector reforms and restructuring. However, empirical evidence on the intended microeconomic, macroeconomic, and quality-related impacts of reforms across developing countries is lacking. This paper comprehensively reviews the empirical and theoretical literature on the linkages between power sector reforms, economic and technical efficiency, and poverty reduction. The review finds that the extent of power sector reforms has varied across developing countries in terms of changes in market structures, the role of the state, and the regulation of the sector. Overall, the reforms have improved the efficiency and productivity in the sector among many reforming countries. However, the efficiency gains have not always reached the end consumers because of the inability of sector regulators and inadequate regulatory frameworks. Reforms alleviate poverty and promote the welfare of the poor only when the poor have access to electricity. From a policy-making perspective, this implies that the reforms need to be supplemented with additional measures for accelerating electrification to help the poor.
Energy Production and Transportation,Infrastructure Regulation,Climate Change Mitigation and Green House Gases,Electric Power,Infrastructure Economics
Number 7330
2015-06-23
http://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2015/06/23/090224b082f7b50a/1_0/Rendered/PDF/A0quarter0cent0developing0countries.pdf
application/pdf
Jamasb,Tooraj
Nepal,Rabindra
Timilsina,Govinda R.
oai:RePEc:nki:journl:v:50:y:2007:i:5:p:105-1342015-06-25RePEc
article
The diversity of Family structure in Europe: A survey on partnership, parenting and childhood across Europe around the millenium
Europe, Millenium, Family structure, Partnership forms, Parenting, Childhood, Fertility, survey
5
2007
50
Demográfia English Edition
105
134
J12
J13
http://demografia.hu/en/publicationsonline/index.php/demografiaenglishedition/article/download/250/597/250-600-1-PB.pdf
application/pdf
Zsolt Spéder
oai:RePEc:nki:journl:v:50:y:2007:i:5:p:75-1042015-06-25RePEc
article
Knowledge and use of developmental thinking about societies and families among teenagers in Argentina
Developmental idealism, Families, Argentina
5
2007
50
Demográfia English Edition
75
104
http://demografia.hu/en/publicationsonline/index.php/demografiaenglishedition/article/download/249/596/249-599-1-PB.pdf
application/pdf
Georgina Binstock
Arland Thornton
oai:RePEc:nki:journl:v:50:y:2007:i:5:p:60-742015-06-25RePEc
article
Hungarian pensioners in the world
Migration, Pensioners, Age composition, Migration of the elderly, Hungary
5
2007
50
Demográfia English Edition
60
74
J11
http://demografia.hu/en/publicationsonline/index.php/demografiaenglishedition/article/download/248/595/248-598-1-PB.pdf
application/pdf
Sándor Illés
oai:RePEc:nki:journl:v:50:y:2007:i:5:p:135-1622015-06-25RePEc
article
The emergence of cohabitation in a transitional socio-economic context: Evidence from Bulgaria and Russia
Family, Family planning, family formation, cohabitation, Bugaria, Russia, GGS, survey
5
2007
50
Demográfia English Edition
135
162
J12
J13
http://demografia.hu/en/publicationsonline/index.php/demografiaenglishedition/article/download/251/598/251-601-1-PB.pdf
application/pdf
Dora Kostova
oai:RePEc:esj:esridp:3222015-06-25RePEc
preprint
Do the Rich Save More in Japan? Evidence Based on Two Micro Datasets for the 2000s
Using two household surveys for Japan, the Family and Lifestyle Survey (FLS) and the Family Income and Expenditure Survey (FIES), this paper investigates whether the saving rates of richer households (households with higher lifetime wealth) are higher than those of poorer households. The major difficulty in addressing this issue empirically is that a reliable proxy for lifetime wealth is rarely available. We therefore construct a number of proxies from the two surveys. While the estimated relationships are sensitive to the choice of proxy for lifetime wealth, the patterns observed for working age households in Japan are generally consistent with those reported for Western countries: we find significant positive correlations between saving rates and lifetime wealth when we use education and/or the type of occupation (job) as proxies, while the positive correlations disappear when we use consumption as an alternative proxy. We also try alternative proxies original to this study: lagged consumption, household assets, and/or purchase prices and find that the results with these instruments indicate marginally positive correlations between saving rates and lifetime wealth for working age households. We further find that the relationship between saving rates and lifetime wealth differs depending on the life stage of individual households. Older households with higher lifetime wealth appear to be dissaving to some extent, which is more or less consistent with the lifecycle model of consumption.
saving rates, lifetime/permanent income, Japan JEL classifications: D12, D91
31 pages
2015-06
http://www.esri.go.jp/jp/archive/e_dis/e_dis322/e_dis322.pdf
application/pdf
HORI Masahiro
IWAMOTO Koichiro
NIIZEKI Takeshi
SUGA Fumihiko
oai:RePEc:fda:fdaddt:2014-142015-06-25RePEc
preprint
Educational Attainmet in the OECD, 1960-2010 (version 3.1)
This paper describes the construction of series of educational attainment of the adult population in a sample of 22 OECD countries covering the period 1960-2010. These series are a revised and extended version of the data set described in de la Fuente and Doménech (2002).
Number 2014-14
2014-10
http://documentos.fedea.net/pubs/dt/2014/dt-2014-14.pdf
application/pdf
http://www.fedea.net/docs/dt2014-14_datos_HCta_OECD.xls
application/vnd.ms-excel
Ángel de la Fuente
Rafael Doménech
oai:RePEc:fda:fdaddt:2006-132015-06-25RePEc
preprint
Economies of Density, Network Size and Spatial Scope in the European Airline Industry
In this article we use four different indices to measure cost performance of the European Airline Industry. By using the number of routes as an indicator of Network Size, we are able to estimate indicators of Economies of Density, Network Size and Spatial Scope. By estimating total and variable cost functions we are also able to calculate an index of the excess capacity of the firms. For this purpose, we use data from the years 1984 to 1998, a period during which several deregulation measures were imposed on the European airline industry. Our results suggest that in the year 1998, almost all the firms had Economics of Density in their existing networks, while several of the firms also had Economies of Network Size and Economies of Spatial Scope. These results support our hypothesis that fusion, alliance, and merger strategies followed by the principal European airlines after 1998 are not just explained by marketing strategies, but also by the cost structure of the industry.
Number 2006-13
2006-06
http://documentos.fedea.net/pubs/dt/2006/dt-2006-13.pdf
application/pdf
Hugo Salgado
Manuel Romero-Hernández
oai:RePEc:dau:thesis:123456789/152312015-06-25RePEc
book
Stress testing and financial risks
This thesis has set a comprehensive framework to assess the relevance of financial stress tests, identifying their main drawbacks. Three robust and flexible model frameworks have been proposed to improve current practices in each of the tests’ stages. This is achieved through: (i) a semi-parametric EVT–Pair-copulas model for financial risk factors, with a specific focus on extreme values, (ii) a valuation model to assess the impact of risk factors on a financial system, through direct and indirect effects, contagion channels, and considering private and public response functions, and (iii) a Bayesian-based approach to run a systematic selection of stress scenarios for nonlinear portfolios. The presented risk model has proven to outperform commonly used specifications, hence increasing the test’s credibility. Estimated for the French banking system, the valuation model revealed the related risk profile and the main vulnerabilities. Public responses turned to be of vital interest. Finally, the Bayesian approach allows replacing the traditional subjective scenarios and including the tests’ results in quantitative risk management alongside with other conventional tools
Stress tests; Scénario; Tve; Copules-Paires; Risque systémique; Gestion des risques; Inférence bayésienne; Stress testing; Scenario; Evt; Pair-Copulas; Systemic risk; Risk management; Bayesian inference;
http://basepub.dauphine.fr/xmlui/handle/123456789/15231
dissertation
2014
G33
G32
G21
D85
C32
C5
G28
G17
G11
Koliai, Lyes
Koliai
Lyes
Avouyi-Dovi, Sanvi
Avouyi-Dovi
Sanvi
oai:RePEc:dau:thesis:123456789/152332015-06-25RePEc
book
Le rôle de la spatialité dans la mise en place du New Model Worker : du projet Valmy aux tours de la Défense de la Société Générale
Willing to turn a tremendous item of expenditure into a real organizational resource, organizations usually perceive their spaces as potential management tools, but from conceived spaces to lived ones, a noticeable gap is often to be found. This thesis aims at understanding what an organizational space can reveal about the ongoing management practices: what can we understand from the way space is organized, beyond official discourses? Our research is focused on a case: an international bank's headquarter, from its original architectural project document (written in 1989) to 2014, that is to say: six years of construction (as the towers were delivered in 1995) and nineteen years of spatial practice. This is particularly interesting for those towers were supposed to help implement a "New Model Worker" through a particular spatial setting, favorable to informal communication. From our collected data, we've been able to build up a fresh perspective - an analysis grid gathering space, place, and artefacts - to better understand organizational spaces.
Espace; Henri Lefebvre; Siège Social; New Model Worker; Socio-Materialité; Organizational space; Headquarter; Socio-Materiality;
http://basepub.dauphine.fr/xmlui/handle/123456789/15233
dissertation
2015
A14
A12
J28
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15233/2/2015PA090009.pdf
application/pdf
Minchella, Delphine
Minchella
Delphine
Perret, Véronique
Perret
Véronique
oai:RePEc:dau:thesis:123456789/110892015-06-25RePEc
book
La construction identitaire en situation : Le cas de managers à l'épreuve de la détresse de leurs collaborateurs
Previous work about identity construction in management studies has focused on a stable individual identity that only evolves with major events. Conversely, this research aims to explore a more situated identity construction in front of day-to-day working activities. We borrow Danilo Martuccelli’s concept of trial in order to operationalize what a situation is. Through a multiple qualitative case study, we analyse 29 narratives of managers’ trial of their subordinates’ distress. These data were collected through 45 semi-structured interviews with managers and several days of observation inside one organization. Our analysis emcompasses the in-depth presentation of four cases and a global comparative analysis of the 29 narratives. Our findings are composed of the identification of three main dynamics of identity construction. Finally, we offer an integrative processual representation of identity construction during work situations. We show that the underlying stability of identity is better conceived as the result of an ongoing process of identity (re)construction.
Construction identitaire; Épreuve; Managers; Identity construction; Trial;
http://basepub.dauphine.fr/xmlui/handle/123456789/11089
dissertation
2012
J24
M12
http://basepub.dauphine.fr/xmlui/bitstream/123456789/11089/2/2012PA090058.pdf
application/pdf
Pezé, Stéphan
Pezé
Stéphan
Huault, Isabelle
Huault
Isabelle
oai:RePEc:dau:papers:123456789/152352015-06-25RePEc
preprint
Does health insurance encourage the rise in medical prices? A test on balance billing in France
In this paper, we estimate the causal impact of a positive shock on supplementary health insurance coverage on the use of specialists who balance bill. For that purpose, we evaluate the impact on patients' behavior of a shock consisting of better coverage of balance billing, while controlling for supply side drivers, i.e. proportions of physicians who balance bill and physicians who do not. We use a panel dataset of 58,336 individuals observed between January 2010 and December 2012, which provides information, at the individual level, on health care claims and reimbursements provided by basic and supplementary insurance. Our data makes it possible to observe enrollees that are heterogeneous in their propensity to use physicians who balance bill. We observe them when they are all covered by the same supplementary insurer, with no coverage for balance billing, and after 5,134 of them switched to other supplementary insurers which offer better coverage. Our estimations show that better coverage contributes to a rise in medical prices by increasing the demand for specialists who balance bill. On the whole sample, we find that better coverage leads individuals to raise their proportion of consultations of specialists who balance bill by 9 %, which results in a 34 % increase in the amount of balance billing per consultation. However, the effect of supplementary health insurance clearly depends on the local supply side organization. The inflationary impact arises when specialists who balance bill are numerous and specialists who do not are relatively scarce. When people have a real choice between physicians, a coverage shock has no impact on the use of specialists who balance bill. When the number of specialists who charge the regulated fee is sufficiently high, there is no evidence of limits in access to health care, nor of an inflationary effect of supplementary coverage.
Health insurance; Balance billing; Health care access;
http://basepub.dauphine.fr/xmlui/handle/123456789/15235
2015-06
I13
I18
C23
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15235/1/DORMONT_PERON.pdf
application/pdf
Dormont, Brigitte
Dormont
Brigitte
Péron, Mathilde
Péron
Mathilde
oai:RePEc:dau:papers:123456789/152482015-06-25RePEc
preprint
Comment la perception du risque de dépendance influence-t-elle la demande de couverture ? Premiers enseignements de l’enquête ESPS
Avec le vieillissement de la population, la question de la prise en charge de la perte d‟autonomie revêt un intérêt grandissant et la place de la place du marché privé de l‟assurance dépendance reste débattue.Ce dernier peine cependant à se développer malgré des restes à charge important et la loi d‟orientation et de programmation « pour l‟adaptation de la société au vieillissement » prévue pour 2015 ne pourra que partiellement couvrir ces restes à charge. L‟ « énigme de l‟assurance dépendance » trouve ses explications tant du côté de l‟offre que du côté de la demande. De nombreux travaux américains indiquent la nécessité de questionner la demande puisque les limites de l‟offre ne suffisent pas à expliquer le faible développement du marché. Du côté de la demande, les préférences individuelles se sont avérées être un facteur explicatif non suffisant. Cet article vise à enrichir la littérature existante sur les freins à l‟assurance dépendance du côté de la demande en questionnant la perception du risque. Pour cela, nous exploitons la vague 2012 de l‟enquête santé et protection sociale (ESPS).En 2012, l‟enquête ESPS s‟est enrichie d‟un volet « dépendance » adressé aux individus âgés de 50 ans et plus. Elle permet de déterminer leur connaissance du risque d‟être dépendant et la manière dont ils font ou comptent faire face à ce risque.Dans ce but, nous proposons une étude empirique du rôle de la perception du risque dépendance dans l‟adoption d‟une couverture assurantielle en deux étapes. Dans un premier temps, nous décomposons la probabilité déclarée d‟être dépendant dans les 30 prochaines années en une composante objective et une composante subjective dans l‟idée que cette composante subjective nous renseigne sur la possible déformation de cette probabilité. Dans un second temps, nous étudions les déterminants de la couverture assurantielle. Parmi les différents facteurs explicatifs, nous proposons les caractéristiques sociodémographiques usuellement identifiées dans la littérature auxquelles nous ajoutons les préférences individuelles (préférence pour le présent et aversion au risque) et les composantes « subjective » et « objective » de la perception du risque dépendance. Les résultats d‟estimations montrent le rôle significatif du risque perçu subjectif ; les individus sous-estimant leur probabilité d‟être dépendant dans les trente prochaines années par rapport à la moyenne, ont moins recours à une assurance dépendance privée.
Assurance dépendance; perception du risque; préférence pour le présent; aversion au risque;
http://basepub.dauphine.fr/xmlui/handle/123456789/15248
2015-06
D84
G02
I13
J14
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15248/1/Fontaine_et_al_perception_du_risque_dependance_AFSE.pdf
application/pdf
Fontaine, Roméo
Fontaine
Roméo
Perronnin, Marc
Perronnin
Marc
Sirven, Nicolas
Sirven
Nicolas
Zerrar, Nina
Zerrar
Nina
oai:RePEc:dau:papers:123456789/152372015-06-25RePEc
preprint
Revisiting exchange-rate exposure through a microeconomic approach: French manufacturing firms' profits and the euro
Exchange and Production Economies; Transaction Costs; Input; Output;
http://basepub.dauphine.fr/xmlui/handle/123456789/15237
2015-06
D51
D23
D57
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15237/1/Decompo.pdf
application/pdf
Mouradian, Florence
Mouradian
Florence
oai:RePEc:dau:papers:123456789/152732015-06-25RePEc
preprint
Money and Foreign Trade Ricardo’s “ Magic Numbers”
The aim of this paper is to present and compare Ricardo’s monetary and foreign exchange analysis in the writings of 1809-1811 on one side, and in the chapter seven of his 1817 book on the other side. By means of a numerical example, the second section recalls the main features of the 1809-1811 analysis. According to Ricardo, the value of money in two trading countries must be equal for the foreign exchange equilibrium to be reached. Several notions such as the price specie flow mechanism, the quantity theory and the criticism of Thornton’s gold point mechanism are emphasized in this section. The third section presents the theory of the comparative advantage developed in chapter seven of the Principles; more than half of this text is consecrated to monetary components. Emphasis is placed on the distinct effects and mechanisms that intervene in the dynamics of money prices and wages that led to international specialization. The numerical example is used to bring to light the quantity of labour effect, the gold points mechanism, the quantity of money effect and the substitution of imports for production effect that lead to the money prices - i.e. £45, £50, £50, £45 , – linked to the "magic numbers" – i.e. 80, 90, 120, 100 . The fourth section studies first the disconnection established by Ricardo in chapter seven of the Principles between the values of currencies and exchange rates, and concludes. Our research provides the following conclusions. Firstly, Ricardo’s statement of the comparative advantage theory involves the monetary theory; specifically it presupposes the validity of the quantity theory. The specie inflow (outflow) in one country drops (increases) the value of money in this country. Secondly, according to the comparative advantage theory, “England would give the produce of the labour of 100 (English) men, for the produce of the labour of 80 (Portuguese)” (Ricardo, 1817, p; 135). It entails that the money price of the produce of 80 Portuguese men is equal to the money price of the produce of 100 English. It means that the money price of the produce of a given quantity of labour is 25% higher in Portugal than in England; i.e. that the value of a given quantity of money is 20% lower in Portugal than in England. Third, the specie flow between countries is not described with Hume’s price specie flow mechanism, but with Thornton’s gold points mechanism. Fourth, fixed exchange rate under gold standard does not involve gold has the same value in various countries. The symmetrical changes, in two countries, in the quantities of money, that lead to symmetrical changes in the values of money, do not modify the market prices of gold in any of these countries. To conclude, the seventh chapter of the Principles does not support Ricardo’s monetary view at the time of the Bullion Committee.
Monnaie; Commerce international;
http://basepub.dauphine.fr/xmlui/handle/123456789/15273
2015-03
B13
E30
F10
F30
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15273/2/de+Boyer-1.pdf
application/pdf
de Boyer des Roches, Jérôme
de Boyer des Roches
Jérôme
oai:RePEc:dau:papers:123456789/152292015-06-25RePEc
preprint
Foreign Workers in Malaysia: Labour Market and Firm Level Analysis
This paper presents the employment patterns of foreign workers in Malaysia using two key datasets, the Malaysian Labour Force Survey and the Economic Census, which are compiled by the Department of Statistics of Malaysia. The datasets provide complementary individual- and firm-level information about the employment of foreign workers and offer a comprehensive picture of the utilisation of foreign labour in the country. The datasets discussed should be useful for other researchers to further explore the questions raised in the paper.
Department of Statistics; patterns; labour market; foreign workers;
http://basepub.dauphine.fr/xmlui/handle/123456789/15229
Published in Malaysian Journal of Economic Studies, 2015, Vol. 52, no. 1. pp. 1-19.Length: 18 pages
2015-06
O15
J61
F22
Nilsson, Björn
Nilsson
Björn
oai:RePEc:dau:papers:123456789/152462015-06-25RePEc
preprint
Revisiting the transitional dynamics of business-cycle phases with mixed frequency data
This paper introduces a Markov-Switching model where transition probabilities depend on higher frequency indicators and their lags, through polynomial weighting schemes. The MSV-MIDAS model is estimated via maximum likel ihood methods. The estimation relies on a slightly modified version of Hamilton’s recursive filter. We use Monte Carlo simulations to assess the robustness of the estimation procedure and related test-statistics. The results show that ML provides accurate estimates, but they suggest some caution in the tests on the parameters involved in the transition probabilities. We apply this new model to the detection and forecast of business cycle turning points. We properly detect recessions in United States and United Kingdom by exploiting the link between GDP growth and higher frequency variables from financial and energy markets. Spread term is a particularly useful indicator to predict recessions in the United States, while stock returns have the strongest explanatory power around British turning points.
Markov-Switching; mixed frequency data; business cycles;
http://basepub.dauphine.fr/xmlui/handle/123456789/15246
2015-06
C22
E32
E37
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15246/1/Bessec_afse.pdf
application/pdf
Bessec, Marie
Bessec
Marie
oai:RePEc:dau:papers:123456789/152742015-06-25RePEc
preprint
The jobs at risk from globalization: the French case
This article analyzes the effect of outward foreign direct investment (FDI) on the workforce composition in French firms. We use a detailed employer-employee database constructed with four comprehensive datasets of French manufacturing firms over the period 2002–2007, in order to analyze changes in the workforce composition in terms of skills and tasks. To deal with endogeneity issues, we propose an IV strategy where the level of infrastructure and GDP per capita in the host countries are used as instruments. The fixed effect results show that FDI to low-income countries raises significantly the share of executives and reduces the share of blue-collar workers in company workforces in France. Outward FDI to high-income countries affects negatively the share of workers performing non-routine manual tasks. When controlling for endogeneity, the IV results further show an overall positive effect of offshoring for employees performing interactive and analytical tasks, such as engineers and managers.
FDI; Tasks; Inequality; Trade; labor market;
http://basepub.dauphine.fr/xmlui/handle/123456789/15274
Published in Review of World Economics, 2015
2015-05
J21
J24
F16
F14
Laffineur, Catherine
Laffineur
Catherine
Mouhoud, El Mouhoub
Mouhoud
El Mouhoub
oai:RePEc:dau:papers:123456789/152552015-06-25RePEc
preprint
Deep Integration: Free trade agreements heterogeneity and its impact on bilateral trade
Regional trade agreements (RTAs) have surgedin a context of stalled multilateral trade negotiations. Their impact on international trade and on development have been well documented while scant attention have been paid to empirical studies exploring their heterogeneity in the scope of deep integration. We intend in this paper to determine if deeper RTAs promote trade more effectively than less ambitious agreements. We proceed to generate credible indicators of deep integration exploiting two recently available data sets from the World Trade Organization (WTO) and the World Trade Institute (WTI), and then we test their significance in a gravity model for International Trade.Treating additive indicators as factor variables, as well as our innovative use of Multiple Correspondence Analysis MCA to get distilled indicators of deep integration allowed us to givenew insight and to confirm recent findings on the field of deep integration.We find that deeper agreements increase trade more than shallow ones, whereas the provisions they include are within or outside of the WTO domain. Therefore, if we accept the hypothesis that trade liberalization contribute to a better allocation of resources, then trade policy makers should favour deeper RTAs to enhance economic development.
Deep integration; gravity model; regional trade agreements; trade liberalization; international trade; economic development;
http://basepub.dauphine.fr/xmlui/handle/123456789/15255
2015-06
F14
F15
F53
F55
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15255/1/Deep_Integration_Rennes_AFSE_2015-1.pdf
application/pdf
Ahcar, Jaime
Ahcar
Jaime
Siroën, Jean-Marc
Siroën
Jean-Marc
oai:RePEc:dau:papers:123456789/152562015-06-25RePEc
preprint
Financial constraints and export performance: Evidence from Brazilian micro-data
Despite the growing role of Brazil in international trade, exports still face challenges. Following the theoretical framework of Manova (2013), this paper provides firm-level evidence that financial constraints hamper the export performances. Using customs data from Brazil, I show through a probability model, that Large firms exhibit more probability to have export performances when compared with Small and Medium-sized firms, and that this advantage tends to decrease in industries with high external funding needs. The sectors financial vulnerability is proxied with two measures borrowed from Rajan and Zingales (1998) and computed for Brazilian industries over the recent period of the 2000s. The results are globally robust to the modification of the proxies of sectoral external finance dependence, used in the literature. Other tests demonstrate that Brazilian subsidiaries have greater chances to be export performant, and that there is a "regional effect" that makes some Brazilian regions export more than others. This paper also provides an insight of the effects of the global crisis of 2008 on the export patterns.
Export; firms; international trade;
http://basepub.dauphine.fr/xmlui/handle/123456789/15256
2015-06
F10
F14
G30
L25
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15256/1/Financial_constraints_and_export_performance_Evidence_from_Brazilian_micro_data_Fatma_Bouattour.pdf
application/pdf
Bouattour, Fatma
Bouattour
Fatma
oai:RePEc:dau:papers:123456789/135812015-06-25RePEc
preprint
Aid and Growth Evidence from Firm-level Data
This paper explores the impact of foreign aid on firms growth for a panel of 5,640 firms in 29 developing countries, 11 of which in Africa. Using the World Bank Enterprise Surveys data and controlling for fi rms fixed e ffects, we fi nd a positive impact of foreign aid on sales growth. This result is robust to various checks, notably to the instrumentation of aid. We then identify the main infrastructure obstacles to rms growth and examine whether foreign aid contributes to relaxing those constraints. We nd that electricity and transport are perceived as important constraints which tend to decrease the growth rate of fi rms, as well as the utilization of their productive capacity. Evidence on the impact of aid on infrastructure obstacles suggests that total aid and aid to the energy sector tend to decrease electricity obstacles. We also show that transport aid projects, geo-localized at the region level, tend to decrease the transport obstacles.
Foreign aid; Firms growth; Infrastructures constraints;
http://basepub.dauphine.fr/xmlui/handle/123456789/13581
2015-06
F35
O16
O50
http://basepub.dauphine.fr/xmlui/bitstream/123456789/13581/3/aid_and_growth_bdf.pdf
application/pdf
Ehrhart, Hélène
Ehrhart
Hélène
Chauvet, Lisa
Chauvet
Lisa
oai:RePEc:dau:papers:123456789/152702015-06-25RePEc
preprint
Book review of Alexandre Lamfalussy, The Wise Man of the Euro, by Christophe Lamfalussy, Ivo Maes, Sabine Peters
Book review
Système monétaire européen; Pays de l'Union européenne; Politique économique; Union économique et monétaire;
http://basepub.dauphine.fr/xmlui/handle/123456789/15270
Published in European Journal of the History of Economic Thought, 2015, Vol. 22
2015
E52
E42
Y30
de Boyer des Roches, Jérôme
de Boyer des Roches
Jérôme
oai:RePEc:dau:papers:123456789/152472015-06-25RePEc
preprint
Quantifying the impact s of wind power generation in the day-ahead market: The case of Denmark
This paper investigates the impacts of intermittent wind power generation in Denmark on the Nordic day-ahead system price and its volatility in the Nord Pool electricity market, by applying an ARMA-GARCH model, accounting for market coupling and the counterbalance effect from hydropower in Norway and Sweden. As a result, we found that wind generation dampens spot prices, consistently with the merit order effect, and also reduces price volatility in the Nordic day-ahead market. The results shed lights on the importance of market coupling and interactions between wind power and hydropower in the Nordic system through cross-border exchanges, which play an essential role in price stabilization. The analysis on intermittency shows that the market signals or the magnitude of price and volatility reductions depend on the initial level of wind generation. Finally, the Danish experience and the Nordic market structure suggest a way out to handle wind intermittency by interplaying with hydropower at the same time relyingon the functioning of an integrated electricity market.
Wind power; day-ahead price; volatility; GARCH; Denmark;
http://basepub.dauphine.fr/xmlui/handle/123456789/15247
2015-06
C32
L94
L52
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15247/1/Quantifying_29012015YL_CEEM.pdf
application/pdf
Li, Yuanjing
Li
Yuanjing
oai:RePEc:dau:papers:123456789/152322015-06-25RePEc
preprint
A DARE for VaR
This paper introduces a new class of models for the Value-at-Risk (VaR) and Expected Shortfall (ES), called the Dynamic AutoRegressive Expectiles (DARE) models. Our approach is based on a weighted average of expectile-based VaR and ES models, i.e. the Conditional Autoregressive Expectile (CARE) models introduced by Taylor (2008a) and Kuan et al. (2009). First, we briefly present the main non-parametric, parametric and semi-parametric estimation methods for VaR and ES. Secondly, we detail the DARE approach and show how the expectiles can be used to estimate quantile risk measures. Thirdly, we use various backtesting tests to compare the DARE approach to other traditional methods for computing VaR forecasts on the French stock market. Finally, we evaluate the impact of several conditional weighting functions and determine the optimal weights in order to dynamically select the more relevant global quantile model.
Expected Shortfall; Value-at-Risk; Expectile; Risk Measures; Backtests;
http://basepub.dauphine.fr/xmlui/handle/123456789/15232
Published in Finance, 2015, Vol. 36, no. 1. pp. 7-38.Length: 31 pages
2015
C14
C15
C50
C61
G11
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15232/1/BHCHPKBM_DARERiskMeasure_March2015_Finance_final_TeX.pdf
application/pdf
Hamidi, Benjamin
Hamidi
Benjamin
Hurlin, Christophe
Hurlin
Christophe
Kouontchou, Patrick
Kouontchou
Patrick
Maillet, Bertrand
Maillet
Bertrand
oai:RePEc:dau:papers:123456789/152722015-06-25RePEc
preprint
Bank rate, profit of enterprise, risk premium and promoter’s profit in Marx and Hilferding
This paper deals with the contributions of Karl Marx (1864-1875) and Rudolph Hilferding (1810) to corporate finance. Firstly we present Marx’s analysis of the division of gross profit of joint-stock companies into management fees, interest on borrowed capital, and profit of enterprise. Among the capital assets, Marx places more emphasis on debt contracts whose yields are fixed and develops a monetary analysis of the determination of these yields. Secondly we present Hilferding’s theory of promoter’s profit. This author resumes Marx’s theory but put the emphasis on the securities (shares) of joint-stock companies whose yields, the dividends, are uncertain, and risky. Hilferding introduces the risk premium in the interest rate used to capitalize the profit of enterprise, which gives rise to the promoter’s profit. Promoter’s profit arises from the conversion of profit-bearing capital into dividend-bearing capital. Our topic is not a general study of Marx’s and Hilferding’s writings on value, money, capital, cycle and connections between industrial and banking capital – cf. J. Schumpeter (1954), S. de Brunhoff (1971, 1973), W.A. Darity & B.L. Horn (1985), C.M. Germer (1998), A. Nelson (1999); J. de Boyer (2003), S. Hollander (2008), J.E. King (2010). In particular we do not inquire the continuity or discontinuity between Marx and Hilferding about the determinants of the value of money and of prices of commodities. We restrict our study to the characteristics of joint-stock companies and to the determinants of interest rates, rate of profit on own capital and market valorisation of this capital. On this limited topic, as far as we know, there are relatively few studies in the secondary literature: A.A. Bolbol & M.A. Lovewell (2001), de Boyer, and Hollander already quoted. Following the introduction, section 2 introduces the profit of enterprise and presents the interactions established by Marx between the forces of supply of, and demand for, interest-bearing capital and the distinct motives of the demand for money; i.e. demand for money as a means of purchase, as a means of payment, international and national, or as a means of hoarding. It leads to take into account the functioning of the money market and to conclude that the “bank rate” policy of the central bank is the key determinant of the interest rates established on the market for interest bearing capital. Section 3 is devoted to Marx’s criticism of both currency and banking schools concerning this “bank rate” policy. Section 4 introduces the analysis of the leverage effect of borrowed capital on the profitability, and riskiness, on own capital as well as, according to Marx, the separation of ownership from management that results from the creation of joint stock companies. Section 5 focuses the equity risk premium and promoter’s profit introduced by Hilferding. Section 6 discusses Hilferding’s results (1910) in the light of Modigliani-Miller theorem (1958).
Analyse marxiste de la finance d'entreprise;
http://basepub.dauphine.fr/xmlui/handle/123456789/15272
2015-02
B14
E41
E43
G32
de Boyer des Roches, Jérôme
de Boyer des Roches
Jérôme
oai:RePEc:dau:papers:123456789/148502015-06-25RePEc
preprint
Migration and Employment Interactions in a Crisis Context: the case of Tunisia
This article analyses how a crisis impacts labor markets in origin countries through migration channels. For this purpose, we develop a novel dynamic general equilibrium model with a focus on the interlinkages be- tween migration, the labor market and education. The main innovation of the paper is the retrospective modeling in general equilibrium of the impact of an economic crisis to isolate the impact of migration on local unemployment. The impact of the crisis on education decision is captured through endogenous returns to education. The simultaneity of the crisis in Tunisia and its partners worsened the labour market situation mainly through the increase in labour supply. The main result is that migration is indeed one of the main determinants of the unemployment increase and that remittances have a higher impact than the variation of emigration flows. The low skilled bear the highest costs in terms of unemployment and wage decline.
International migration; remittances; labour supply; CGE; Tunisia; Migration internationale; transferts de fonds; offre de travail; équilibre général calculable; Tunisie;
http://basepub.dauphine.fr/xmlui/handle/123456789/14850
Published in Economics of Transition, 2015, Vol. 23, no. 3. pp. 597-624.Length: 27 pages
2015-04
F22
F24
J21
C68
http://basepub.dauphine.fr/xmlui/bitstream/123456789/14850/1/DT+DavidMarouani+-+page+1+and+2.pdf
application/pdf
Marouani, Mohamed Ali
Marouani
Mohamed Ali
David, Anda
David
Anda
oai:RePEc:dau:papers:123456789/152452015-06-25RePEc
preprint
Credit rating agencies, shock and public expectations
This paper studies the behavior of a Credit Rating Agency after a shock. As it has already been discussed, reputation incentives may not be sufficient to discipline a CRA. In a cheap-talk game, I show that a CRA may have incentives to be lax in its ratings when a bubble is about to burst and severe after a shock that has hit its reputation and the economy. The consequences may be severe depending on the economy we are thinking of, emerging markets or an economy with financial disintermediation may be the most threatened. This can be see as one of the factors that may have foster the last financial crisis, especially the south east asian and the subprime ones.
Credit Rating Agency; Reputation;
http://basepub.dauphine.fr/xmlui/handle/123456789/15245
2015-06
G24
G21
D81
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15245/1/Article_CRA_Julien_Trouillet.pdf
application/pdf
Trouillet, Julien
Trouillet
Julien
oai:RePEc:dau:papers:123456789/152362015-06-25RePEc
preprint
Le déficit de cycle de vie en France : une évaluation pour la période 1979 - 2011
Cet article propose une caractérisation du déficit de cycle de vie suivant la méthode des Comptes de Transferts Nationaux. Il couvre la France pour la période 1979 - 2011. Des comparaisons entre générations et internationales sont également proposées.
Âges de la vie; Analyse du cycle de vie;
http://basepub.dauphine.fr/xmlui/handle/123456789/15236
2015-06
J17
J10
http://basepub.dauphine.fr/xmlui/bitstream/123456789/15236/1/nta_ES_v4.pdf
application/pdf
d’Albis, Hippolyte
d’Albis
Hippolyte
Bonnet, Carole
Bonnet
Carole
Navaux, Julien
Navaux
Julien
Pelletan, Jacques
Pelletan
Jacques
Wolff, François-Charles
Wolff
François-Charles
oai:RePEc:dau:papers:123456789/152712015-06-25RePEc
preprint
ÉCONOMIE (Histoire de la pensée économique) : Les grands courants
Actualisation de l'article de 2002
Économie politique; Histoire; Histoire de la pensée économique;
http://basepub.dauphine.fr/xmlui/handle/123456789/15271
Published in Encyclopaedia Universalis,
2015
B31
B00
de Boyer des Roches, Jérôme
de Boyer des Roches
Jérôme
oai:RePEc:wly:jfutmk:v:29:y:2009:i:2:p:137-1562015-03-11RePEc
article
Do futures lead price discovery in electronic foreign exchange markets?
Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E‐mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E‐mini futures do not contribute more to the price discovery than the electronically traded regular futures. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:137–156, 2009
2
2009
29
02
Journal of Futures Markets
137
156
http://hdl.handle.net/
Juan Cabrera
Tao Wang
Jian Yang
oai:RePEc:wly:jfutmk:v:4:y:1984:i:4:p:585-5862015-03-11RePEc
article
Legal notes
4
1984
4
12
Journal of Futures Markets
585
586
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:15:y:1995:i:8:p:861-8792015-03-11RePEc
article
The mispricing of U.S. treasury callable bonds
8
1995
15
12
Journal of Futures Markets
861
879
http://hdl.handle.net/
Peter Carayannopoulos
oai:RePEc:wly:jfutmk:v:31:y:2011:i:2:p:165-1912015-03-11RePEc
article
A Markov regime‐switching ARMA approach for hedging stock indices
This study considers the hedging effectiveness of applying the N‐state Markov regime‐switching autoregressive moving‐average (MRS‐ARMA) model to the S&P‐500 and FTSE‐100 markets. The distinguishingfeature of this study is to incorporate the observations of serially correlated stockreturns into the hedging analysis. To resolve the problem of N-super-T possible routes induced by the presence of MA parameters associated with the algorithm of Hamilton JD ( 1989 ) and a sample of size T, we propose an algorithm by combining the ideas of Hamilton JD ( 1989 ) and Gray SF ( 1996 ). We find that the hedging performances of the three proposed MRS‐MA(1) strategies herein are superior to their corresponding MRS counterparts considered in Alizadeh A and Nomikos N ( 2004 ) over the out‐of‐sample periods, even when we realistically track the transaction costs generated from rebalancing the hedged portfolios. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:165–191, 2011
2
2011
31
02
Journal of Futures Markets
165
191
http://hdl.handle.net/
Chao‐Chun Chen
Wen‐Jen Tsay
oai:RePEc:wly:jfutmk:v:7:y:1987:i:3:p:233-2442015-03-11RePEc
article
Determinants of trading volume in futures markets
3
1987
7
06
Journal of Futures Markets
233
244
http://hdl.handle.net/
Terrence F. Martell
Avner S. Wolf
oai:RePEc:wly:jfutmk:v:11:y:1991:i:1:p:89-932015-03-11RePEc
article
Pricing cross‐currency options
1
1991
11
02
Journal of Futures Markets
89
93
http://hdl.handle.net/
John Rumsey
oai:RePEc:wly:jfutmk:v:24:y:2004:i:9:p:887-9072015-03-11RePEc
article
Price discovery in the hang seng index markets: Index, futures, and the tracker fund
In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M‐GARCH) model. Minute‐by‐minute data from the Hang Seng Index, Hang Seng Index futures, and the tracker fund show that the movements of the three markets are interrelated. The futures markets contain the most information, followed by the spot market. The tracker fund does not contribute to the price discovery process. The three markets exhibit spillover effects, indicating that their second moments are linked, even though the flow of information from the tracker fund to the other markets is minimal. Overall results suggest that the three markets have different degrees of information processing abilities, although they are governed by the same set of macroeconomic fundamentals. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:887–907, 2004
9
2004
24
09
Journal of Futures Markets
887
907
http://hdl.handle.net/
Raymond W. So
Yiuman Tse
oai:RePEc:wly:jfutmk:v:18:y:1998:i:5:p:487-5172015-03-11RePEc
article
Spread options, exchange options, and arithmetic Brownian motion
5
1998
18
08
Journal of Futures Markets
487
517
http://hdl.handle.net/
Geoffrey Poitras
oai:RePEc:wly:jfutmk:v:30:y:2010:i:9:p:897-9082015-03-11RePEc
article
Estimation and testing of portfolio Value‐at‐Risk based on L‐comoment matrices
This study employs L‐comoments introduced by Serfling and Xiao (2007) into portfolio Value‐at‐Risk estimation through two models: the Cornish–Fisher expansion (Draper, N. R. & Tierney, D. E., 1973) and modified VaR (Zangari, P., 1996). Backtesting outcomes indicate that modified VaR outperforms and L‐comoments give better estimates of portfolio skewness and excess kurtosis than do classical central moments in modeling heavy‐tailed distributions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:897–908, 2010
9
2010
30
09
Journal of Futures Markets
897
908
http://hdl.handle.net/
Wei‐Han Liu
oai:RePEc:wly:jfutmk:v:28:y:2008:i:10:p:911-9342015-03-11RePEc
article
The specification of GARCH models with stochastic covariates
A number of studies investigate whether various stochastic variables explain changes in return volatility by specifying the variables as covariates in a GARCH(1, 1) or EGARCH(1, 1) model. The authors show that these models impose an implicit constraint that can obscure the true role of the covariates in the analysis. They illustrate the problem by reconsidering the role of contemporaneous trading volume in explaining ARCH effects in daily stock returns. Once the constraint imposed in earlier research is relaxed, it is found that specifying volume as a covariate does little to diminish the importance of lagged squared returns in capturing the dynamics of volatility. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:911–934, 2008
10
2008
28
10
Journal of Futures Markets
911
934
http://hdl.handle.net/
Jeff Fleming
Chris Kirby
Barbara Ostdiek
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:933-9412015-03-11RePEc
article
A cointegration test for oil futures market efficiency
8
1993
13
12
Journal of Futures Markets
933
941
http://hdl.handle.net/
William J. Crowder
Anas Hamed
oai:RePEc:wly:jfutmk:v:25:y:2005:i:10:p:989-10092015-03-11RePEc
article
Is it important to consider the jump component for pricing and hedging short‐term options?
The usefulness of the jump component for pricing and hedging short‐term options is studied for the KOSPI (Korean Composite Stock Price Index) 200 Index options. It is found that jumps have only a marginal effect and stochastic volatility is of the most importance. There is evidence of jumps in the underlying index but no evidence of jumps in the corresponding index options. However, these results may not be valid for individual equity options. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:989–1009, 2005
10
2005
25
10
Journal of Futures Markets
989
1009
http://hdl.handle.net/
In Joon Kim
Sol Kim
oai:RePEc:wly:jfutmk:v:2:y:1982:i:1:p:19-242015-03-11RePEc
article
A comment on greenstone's “the coffee cartel: Manipulation in the public interest”
1
1982
2
03
Journal of Futures Markets
19
24
http://hdl.handle.net/
John Edmunds
oai:RePEc:wly:jfutmk:v:27:y:2007:i:1:p:85-1042015-03-11RePEc
article
Back to the future: Futures margins in a future credit default swap index futures market
The introduction of exchange‐traded credit default swap (CDS) index futures is eminent and this development in the credit market is the subject of this article. A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value theory is suggested. The approach is then exemplified with a study of the increasingly popular iTraxx Europe CDS index market. Although this market is not organized through an exchange and is not a futures market, the empirical results together with an arbitrage argument nonetheless suggest margin levels in a future exchange‐traded CDS index futures market computed using extreme value theory to be superior to those computed using the traditional normal distribution or the actual historical distribution. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:85–104, 2007
1
2007
27
01
Journal of Futures Markets
85
104
http://hdl.handle.net/
Hans N. E. Byström
oai:RePEc:wly:jfutmk:v:30:y:2010:i:10:p:983-10062015-03-11RePEc
article
Alternative tilts for nonparametric option pricing
This study generalizes the nonparametric approach to option pricing of Stutzer, M. (1996) by demonstrating that the canonical valuation methodology introduced therein is one member of the Cressie–Read family of divergence measures. Alhough the limiting distribution of the alternative measures is identical to the canonical measure, the finite sample properties are quite different. We assess the ability of the alternative divergence measures to price European call options by approximating the risk‐neutral, equivalent martingale measure from an empirical distribution of the underlying asset. A simulation study of the finite sample properties of the alternative measure changes reveals that the optimal divergence measure depends upon how accurately the empirical distribution of the underlying asset is estimated. In a simple Black–Scholes model, the optimal measure change is contingent upon the number of outliers observed, whereas the optimal measure change is a function of time to expiration in the stochastic volatility model of Heston, S. L. (1993). Our extension of Stutzer's technique preserves the clean analytic structure of imposing moment restrictions to price options, yet demonstrates that the nonparametric approach is even more general in pricing options than originally believed. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:983–1006, 2010
10
2010
30
10
Journal of Futures Markets
983
1006
http://hdl.handle.net/
M. Ryan Haley
Todd B. Walker
oai:RePEc:wly:jfutmk:v:27:y:2007:i:6:p:555-5742015-03-11RePEc
article
The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash
This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator candidates. These include volume and open interest of index options and futures, as well as the arbitrage basis of index futures. Using monthly, nonoverlapping data, the study reveals that implied volatility is superior to those variables in forecasting future realized volatility. The study also demonstrates that a simple signal extraction model could have produced useful warning signals prior to periods of extreme volatility. These results indicate that the options market is highly efficient informationally. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:555–574, 2007
6
2007
27
06
Journal of Futures Markets
555
574
http://hdl.handle.net/
Joseph K. W. Fung
oai:RePEc:wly:jfutmk:v:6:y:1986:i:1:p:141-1662015-03-11RePEc
article
Economic costs and benefits of the proposed one—minute time bracketing regulation
1
1986
6
03
Journal of Futures Markets
141
166
http://hdl.handle.net/
Sanford J. Grossman
Merton H. Miller
oai:RePEc:wly:jfutmk:v:27:y:2007:i:4:p:337-3592015-03-11RePEc
article
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
In the framework of encompassing regressions, the information content of the jump/continuous components of historical volatility is assessed when implied volatility is included as an additional regressor. The authors' empirical application focuses on daily and intradaily data for the S&P100 and S&P500 indexes, and daily data for the associated VXO and VIX implied volatility indexes. The results show that the total explanatory power of the encompassing regressions barely changes when the jump/continuous components are included, although the weekly and monthly continuous components are usually significant. This evidence supports the view that implied volatility has very high information content, even when extended decompositions of past realized volatility are used. Moreover, adding GARCH‐type volatility forecasts in the regressions confirms these results. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:337–359, 2007
4
2007
27
04
Journal of Futures Markets
337
359
http://hdl.handle.net/
Pierre Giot
Sébastien Laurent
oai:RePEc:wly:jfutmk:v:12:y:1992:i:5:p:563-5742015-03-11RePEc
article
The behavior of oil futures returns around OPEC conferences
5
1992
12
10
Journal of Futures Markets
563
574
http://hdl.handle.net/
Richard Deaves
Itzhak Krinsky
oai:RePEc:wly:jfutmk:v:7:y:1987:i:1:p:49-642015-03-11RePEc
article
Option expirations and treasury bond futures prices
1
1987
7
02
Journal of Futures Markets
49
64
http://hdl.handle.net/
Anand K. Bhattacharya
oai:RePEc:wly:jfutmk:v:2:y:1982:i:4:p:333-3402015-03-11RePEc
article
Forward pricing feeder pigs
4
1982
2
12
Journal of Futures Markets
333
340
http://hdl.handle.net/
Stephen E. Miller
oai:RePEc:wly:jfutmk:v:31:y:2011:i:6:p:562-5972015-03-11RePEc
article
On the rate of convergence of binomial Greeks
This study investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth price convergence models in the literature, including the binomial Black–Scholes (BBS) model of Broadie M and Detemple J ( 1996 ), the flexible binomial model (FB) of Tian YS ( 1999 ), the smoothed payoff (SPF) approach of Heston S and Zhou G ( 2000 ), the GCRR‐XPC models of Chung SL and Shih PT ( 2007 ), the modified FB‐XPC model, and the modified GCRR‐FT model. We prove that the rate of convergence of the CRR model for computing deltas and gammas is of order O(1/n), with a quadratic error term relating to the position of the final nodes around the strike price. Moreover, most smooth price convergence models generate deltas and gammas with monotonic and smooth convergence with order O(1/n). Thus, one can apply an extrapolation formula to enhance their accuracy. The numerical results show that placing the strike price at the center of the tree seems to enhance the accuracy substantially. Among all the binomial models considered in this study, the FB‐XPC and the GCRR‐XPC model with a two‐point extrapolation are the most efficient methods to compute Greeks. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
6
2011
31
06
Journal of Futures Markets
562
597
http://hdl.handle.net/
San‐Lin Chung
Weifeng Hung
Han‐Hsing Lee
Pai‐Ta Shih
oai:RePEc:wly:jfutmk:v:18:y:1998:i:7:p:851-8662015-03-11RePEc
article
Are regression approach futures hedge ratios stationary?
In contrast to some recent research, this article finds that regression approach futures hedge ratios are stationary. It shows that a previous study's failure to reject the random walk null hypothesis was due to its small sample size and the overlapping hedge ratio calculation approach's bias toward accepting the random walk hypothesis. The impact of overlap on the Dickey‐Fuller full model intercept and slope estimates is demonstrated analytically and numerically. Finally, the article shows that out‐of‐sample hedging performance is not significantly improved by updating the hedge ratios. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:851–866, 1998
7
1998
18
10
Journal of Futures Markets
851
866
http://hdl.handle.net/
Robert Ferguson
Dean Leistikow
oai:RePEc:wly:jfutmk:v:23:y:2003:i:12:p:1191-12072015-03-11RePEc
article
An empirical investigation of the GARCH option pricing model: Hedging performance
In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc Black‐Scholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH) process of Nelson. Using S&P 500 options data, we find that the EGARCH model performs better than the ad hoc BS model both in terms of in‐sample valuation and out‐of‐sample forecasting. However, the superiority of out‐of‐sample performance EGARCH model over the ad hoc BS model is small and insignificant except in the case of deep‐out‐of‐money put options. The out‐performance diminishes as one lengthens the forecasting horizon. Interestingly, we find that the more complicated EGARCH model performs worse than the ad hoc BS model in hedging, irrespective of moneyness categories and hedging horizons. For at‐the‐money and out‐of‐the‐money put options, the underperformance of the EGARCH model in hedging is statistically significant. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1191–1207, 2003
12
2003
23
12
Journal of Futures Markets
1191
1207
http://hdl.handle.net/
Haynes H. M. Yung
Hua Zhang
oai:RePEc:wly:jfutmk:v:6:y:1986:i:2:p:207-2222015-03-11RePEc
article
Taxes and the hedging of forward commitments
2
1986
6
06
Journal of Futures Markets
207
222
http://hdl.handle.net/
Robert L. McDonald
oai:RePEc:wly:jfutmk:v:29:y:2009:i:3:p:270-2952015-03-11RePEc
article
Who knows more about future currency volatility?
We use four currency pairs from October 1, 2001 to September 29, 2006 to compare the predictive power of the implied volatility derived from currency option prices that are traded on the Philadelphia Stock Exchange (PHLX), Chicago Mercantile Exchange (CME), and over‐the‐counter market (OTC). Among the competing implied volatility forecasts, OTC‐implied volatility subsumes the information content of PHLX‐ and CME‐implied volatility. Consistent with extant studies our result also shows that the implied volatility provides more information about future volatility–regardless of whether it is from the OTC, PHLX, or CME markets–than time series based volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:270–295, 2009
3
2009
29
03
Journal of Futures Markets
270
295
http://hdl.handle.net/
Charlie Charoenwong
Nattawut Jenwittayaroje
Buen Sin Low
oai:RePEc:wly:jfutmk:v:24:y:2004:i:1:p:3-352015-03-11RePEc
article
Valuing credit derivatives using Gaussian quadrature: A stochastic volatility framework
This article proposes semi‐closed‐form solutions to value derivatives on mean reverting assets. A very general mean reverting process for the state variable and two stochastic volatility processes, the square‐root process and the Ornstein‐Uhlenbeck process, are considered. For both models, semi‐closed‐form solutions for characteristic functions are derived and then inverted using the Gauss‐Laguerre quadrature rule to recover the cumulative probabilities. As benchmarks, European call options are valued within the following frameworks: Black and Scholes ( 1973 ) (represents constant volatility and no mean reversion), Longstaff and Schwartz ( 1995 ) (represents constant volatility and mean reversion), and Heston ( 1993 ) and Zhu ( 2000 ) (represent stochastic volatility and no mean reversion). These comparisons show that numerical prices converge rapidly to the exact price. When applied to the general models proposed (represent stochastic volatility and mean reversion), the Gauss‐Laguerre rule proves very efficient and very accurate. As applications, pricing formulas for credit spread options, caps, floors, and swaps are derived. It also is shown that even weak mean reversion can have a major impact on option prices. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:3–35, 2004
1
2004
24
01
Journal of Futures Markets
3
35
http://hdl.handle.net/
Nabil Tahani
oai:RePEc:wly:jfutmk:v:7:y:1987:i:3:p:287-3012015-03-11RePEc
article
Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle
3
1987
7
06
Journal of Futures Markets
287
301
http://hdl.handle.net/
Michael A. Hudson
Raymond M. Leuthold
Gboroton F. Sarassoro
oai:RePEc:wly:jfutmk:v:2:y:1982:i:2:p:209-2162015-03-11RePEc
article
Futures bibliography
2
1982
2
06
Journal of Futures Markets
209
216
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:10:y:1990:i:3:p:287-3062015-03-11RePEc
article
Commodity futures cross hedging of foreign exchange exposure
3
1990
10
06
Journal of Futures Markets
287
306
http://hdl.handle.net/
Bruce A. Benet
oai:RePEc:wly:jfutmk:v:7:y:1987:i:4:p:383-3952015-03-11RePEc
article
Futures, spots, stocks and bonds: Multi‐asset portfolio analysis
4
1987
7
08
Journal of Futures Markets
383
395
http://hdl.handle.net/
Haim Levy
oai:RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1076-11132015-03-11RePEc
article
Long memory and structural breaks in commodity futures markets
This study employs daily data for 14 commodities and three financial assets 1990–2009 to explore the impact of the time series properties of the futures‐spot basis and the cost of carry on forward market unbiasedness. The main result is that the basis of 16 assets exhibits both long memory and structural breaks. The long memory in the basis is robust even to the use of break‐adjusted data. It implies that the cost‐of‐carry has long memory which the empirical results confirm using the interest cost as a proxy. These new findings suggest that the forecast error has long memory and are inconsistent with unbiasedness. They could be consistent with a weaker version of market efficiency in the presence of a fractionally integrated, time‐varying risk premium but they could also be rationalized by priced noise trader risk with limits to arbitrage in less than fully efficient markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
11
2011
31
11
Journal of Futures Markets
1076
1113
http://hdl.handle.net/
Jerry Coakley
Jian Dollery
Neil Kellard
oai:RePEc:wly:jfutmk:v:29:y:2009:i:12:p:1130-11602015-03-11RePEc
article
Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth
A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading in highly volatile market conditions. A series of unusual events in 2006, sparking extreme volatility in natural gas futures trading, provide an ideal setting to revisit the resilience of trading system price leadership in the face of high volatility. We estimate time‐varying Hasbrouck‐style information shares to investigate the intertemporal and cross‐sectional dynamics in price discovery. The results strongly suggest that the information share is time‐dependent and contract‐dependent. Floor trading dominates price discovery in the less liquid longer‐maturity contracts, whereas electronic trading dominates price discovery in the most liquid spot‐month contract. We find that the floor trading information share increases significantly with realized volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1130–1160, 2009
12
2009
29
12
Journal of Futures Markets
1130
1160
http://hdl.handle.net/
Paul Kofman
David Michayluk
James T. Moser
oai:RePEc:wly:jfutmk:v:3:y:1983:i:2:p:143-1662015-03-11RePEc
article
Foreign exchange options
2
1983
3
06
Journal of Futures Markets
143
166
http://hdl.handle.net/
Ian H. Giddy
oai:RePEc:wly:jfutmk:v:22:y:2002:i:5:p:393-4262015-03-11RePEc
article
Modeling seasonality in agricultural commodity futures
The stochastic behavior of agricultural commodity prices is investigated using observations of the term structures of futures prices over time. The continuous time dynamics of (log‐) commodity prices are modeled as a sum of a deterministic seasonal component, a non‐stationary state‐variable, and a stationary state‐variable. Futures prices are established by standard no‐arbitrage arguments and the Kalman filter methodology is used to estimate the model parameters for corn futures, soybean futures, and wheat futures based on weekly data from the Chicago Board of Trade for the period 1972–1997. Furthermore, in a discussion of the estimated seasonal patterns in agricultural commodity prices, the paper provides empirical evidence on the theory of storage that predicts a negative relationship between stocks of inventory and convenience yields; in particular, convenience yields used in this analysis are extracted using the Kalman filter. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:393–426, 2002
5
2002
22
05
Journal of Futures Markets
393
426
http://hdl.handle.net/
Carsten Sørensen
oai:RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1169-11942015-03-11RePEc
article
Does an index futures split enhance trading activity and hedging effectiveness of the futures contract?
Recently, several stock index futures exchanges have experimented with an altered contract design to make the contract more attractive and to increase investor accessibility. In 1998, the Swedish futures exchange (OM) split the OMX‐index futures contract with a factor of 4:1, without altering any other aspect of the futures contract design. This isolated contract redesign enables a ceteris paribus analysis of the effects of a futures split. The purpose is to investigate whether the futures split affects the futures market trading activity, as well as hedging effectiveness and basis risk of the futures contract. A bivariate GARCH framework is used to jointly model stock index returns and changes in the futures basis, and to obtain measures of hedging efficiency and basis risk. Significantly increased hedging efficiency and lower relative basis risk is found following the split. In addition, evidence of an increased trading volume is found after the split, whereas the futures bid‐ask spread appears to be unaffected by the split. The results are consistent with the idea that the futures split has enhanced trading activity and hedging effectiveness of the futures contract, without raising the costs of transacting at the futures market. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1169–1194, 2006
12
2006
26
12
Journal of Futures Markets
1169
1194
http://hdl.handle.net/
Lars Nordén
oai:RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-5062015-03-11RePEc
article
Efficient use of commodity futures in diversified portfolios
We provide evidence on the role of commodity futures in portfolios comprised of stocks, bonds, T‐bills, and real estate. Over the period investigated (1973–1997), Markowitz optimization over a range of risk levels gives substantial weight to commodity futures, thereby enhancing the portfolios’ returns. We find dramatically different results when we use a simple ex ante measure of monetary stringency to dichotomize the sample into expansive‐versus‐restrictive monetary‐policy periods. In periods characterized by restrictive monetary policy, commodity futures are shown to have substantial weight in the efficient portfolios, with significant return enhancement at all levels of risk. In periods characterized by expansive monetary policy, commodity futures are shown to have little or no weight in the efficient portfolios, with no return enhancement at all levels of risk. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:489–506, 2000
5
2000
20
05
Journal of Futures Markets
489
506
http://hdl.handle.net/
Gerald R. Jensen
Robert R. Johnson
Jeffrey M. Mercer
oai:RePEc:wly:jfutmk:v:15:y:1995:i:4:p:489-5062015-03-11RePEc
article
Price movements and price discovery in the municipal bond index and the index futures markets
4
1995
15
06
Journal of Futures Markets
489
506
http://hdl.handle.net/
Mao‐Wei Hung
Hua Zhang
oai:RePEc:wly:jfutmk:v:11:y:1991:i:5:p:623-6452015-03-11RePEc
article
Equilibrium treasury bond futures pricing in the presence of implicit delivery options
5
1991
11
10
Journal of Futures Markets
623
645
http://hdl.handle.net/
Gerald D. Gay
Steven Manaster
oai:RePEc:wly:jfutmk:v:24:y:2004:i:6:p:513-5322015-03-11RePEc
article
Anatomy of option features in convertible bonds
Several earlier theoretical studies on the optimal issuer's calling policy of a convertible bond suggest that the issuer should call the bond as soon as the conversion value exceeds the call price. However, empirical studies on actual cases of calling by convertible bond issuers reveal that firms “delayed” calling their convertible bonds until the conversion value well exceeded the call price. In this paper, we construct valuation algorithms that price risky convertible bonds with embedded option features. In particular, we examine the impact of the soft call and hard call constraints, notice period requirement and other factors on the optimal issuer's calling policy. Our results show that the critical stock price at which the issuer should optimally call the convertible bond depends quite sensibly on these constraints and requirements. The so‐called “delayed call phenomena” may be largely attributed to the underestimation of the critical call price due to inaccurate modeling of the contractual provisions. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:513–532, 2004
6
2004
24
06
Journal of Futures Markets
513
532
http://hdl.handle.net/
Ka Wo Lau
Yue Kuen Kwok
oai:RePEc:wly:jfutmk:v:1:y:1981:i:1:p:3-162015-03-11RePEc
article
The coffee cartel: Manipulation in the public interest
1
1981
1
03
Journal of Futures Markets
3
16
http://hdl.handle.net/
Wayne D. Greenstone
oai:RePEc:wly:jfutmk:v:3:y:1983:i:2:p:185-1902015-03-11RePEc
article
The phased‐in money market certificate hedge
2
1983
3
06
Journal of Futures Markets
185
190
http://hdl.handle.net/
Jeffrey K. Speakes
oai:RePEc:wly:jfutmk:v:8:y:1988:i:1:p:47-652015-03-11RePEc
article
Option price behavior in grain futures markets
1
1988
8
02
Journal of Futures Markets
47
65
http://hdl.handle.net/
William W. Wilson
Hung‐Gay Fung
Michael Ricks
oai:RePEc:wly:jfutmk:v:15:y:1995:i:6:p:691-7172015-03-11RePEc
article
Hedge performance of SPX index options and S&P 500 futures
6
1995
15
09
Journal of Futures Markets
691
717
http://hdl.handle.net/
Bruce A. Benet
Carl F. Luft
oai:RePEc:wly:jfutmk:v:27:y:2007:i:9:p:819-8372015-03-11RePEc
article
Approximate basket option valuation for a simplified jump process
This study proposes the use of a simplified jump process, namely the Bernoulli jump process, to develop approximate basket option valuation formulas. The proposed model is based on a more realistic stochastic process—relative to the standard geometric Brownian motion—without introducing additional intractability. Typical approximations, necessary for the development of the closed form formulas, are validated on the basis of a Monte Carlo experiment. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:819–837, 2007
9
2007
27
09
Journal of Futures Markets
819
837
http://hdl.handle.net/
Dimitris Flamouris
Daniel Giamouridis
oai:RePEc:wly:jfutmk:v:31:y:2011:i:12:p:1142-11692015-03-11RePEc
article
Intraday price formation and bid–ask spread components: A new approach using a cross‐market model
This study examines the intraday formation process of transaction prices and bid–ask spreads in the KOSPI 200 futures market. By extending the structural model of Madhavan, A., Richardson, M., and Roomans, M. ( 1997 ), we develop a unique cross‐market model that can decompose spread components and explain intraday price formation for the futures market by using the order flow information from the KOSPI 200 options market, which is a market that is closely related to the futures market as well as considered to be one of the most remarkable options markets in the world. The empirical results indicate that the model‐implied spread and the permanent component of the spread that results from informed trading tend to be underestimated without the inclusion of options market information. Further, the results imply that trades of in‐the‐money options, which have high delta values, generally incur a more adverse information cost component (the permanent spread component) of the futures market than those of out‐of‐the‐money options, which have relatively low delta values. Finally, we find that the adverse information cost component that is estimated from the cross‐market model exhibits a nearly U‐shaped intraday pattern; however, it sharply decreases at the end of the trading day. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark
12
2011
31
12
Journal of Futures Markets
1142
1169
http://hdl.handle.net/
Doojin Ryu
oai:RePEc:wly:jfutmk:v:26:y:2006:i:3:p:297-3132015-03-11RePEc
article
Testing range estimators of historical volatility
This study investigates the relative performance of various historical volatility estimators that incorporate daily trading range: M. Parkinson (1980), M. Garman and M. Klass (1980), L. C. G. Rogers and S. E. Satchell (1991), and D. Yang and Q. Zhang (2000). It is found that the range estimators all perform very well when an asset price follows a continuous geometric Brownian motion. However, significant differences among various range estimators are detected if the asset return distribution involves an opening jump or a large drift. By adding microstructure noise to the Monte Carlo simulation, the finding of S. Alizadeh, M. W. Brandt, and F. X. Diebold (2002)—that range estimators are fairly robust toward microstructure effects—is confirmed. An empirical test with S&P 500 index return data shows that the variances estimated with range estimators are quite close to the daily integrated variance. The empirical results support the use of range estimators for actual market data. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:297–313, 2006
3
2006
26
03
Journal of Futures Markets
297
313
http://hdl.handle.net/
Jinghong Shu
Jin E. Zhang
oai:RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1043-10692015-03-11RePEc
article
The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models
This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One‐month and three‐month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving‐average model leads to lower portfolio variances than any of the GARCH‐based, implied or time‐invariant approaches. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1043–1069, 2001
11
2001
21
11
Journal of Futures Markets
1043
1069
http://hdl.handle.net/
Chris Brooks
James Chong
oai:RePEc:wly:jfutmk:v:23:y:2003:i:1:p:87-1072015-03-11RePEc
article
The valuation of reset options with multiple strike resets and reset dates
This article makes two contributions to the literature. The first contribution is to provide the closed‐form pricing formulas of reset options with strike resets and predecided reset dates. The exact closed‐form pricing formulas of reset options with strike resets and continuous reset period are also derived. The second contribution is the finding that the reset options not only have the phenomena of Delta jump and Gamma jump across reset dates, but also have the properties of Delta waviness and Gamma waviness, especially near the time before reset dates. Furthermore, Delta and Gamma can be negative when the stock price is near the strike resets at times close to the reset dates. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:87–107,2003
1
2003
23
01
Journal of Futures Markets
87
107
http://hdl.handle.net/
Szu‐Lang Liao
Chou‐Wen Wang
oai:RePEc:wly:jfutmk:v:18:y:1998:i:4:p:379-3972015-03-11RePEc
article
A bivariate generalized autoregressive conditional heteroscedasticity‐in‐mean study of the relationship between return variability and trading volume in international futures markets
4
1998
18
06
Journal of Futures Markets
379
397
http://hdl.handle.net/
Michael Jacobs Jr.
Joseph Onochie
oai:RePEc:wly:jfutmk:v:20:y:2000:i:4:p:345-3592015-03-11RePEc
article
Response to price and production risk: The case of Australian wheat
A model of Australian wheat grower supply response was specified under the constrainsts of price and yield uncertainty, risk aversion, partial adjustment, and quadratic costs. The model was solved to obtain area planted. The results of estimation indicate that risk arising from prices and climate have had a significant influence on producer decision making. The coefficient of relative risk aversion and short‐run and long‐run elasticities of supply with respect to price were calculated. Wheat growers' risk premium, expected at the start of the season for exposed price and yield risk, was 2.8 percent of revenue or 10.4 percent of profit as measured by producer surplus. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 345–359, 2000.
4
2000
20
04
Journal of Futures Markets
345
359
http://hdl.handle.net/
Alicia N. Rambaldi
Phil Simmons
oai:RePEc:wly:jfutmk:v:12:y:1992:i:3:p:291-3052015-03-11RePEc
article
Evidence of chaos in commodity futures prices
3
1992
12
06
Journal of Futures Markets
291
305
http://hdl.handle.net/
Gregory P. Decoster
Walter C. Labys
Douglas W. Mitchell
oai:RePEc:wly:jfutmk:v:28:y:2008:i:4:p:376-3972015-03-11RePEc
article
Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates
This study analyzes bank margins in the German secondary market for exchange‐traded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural model allowing for the incorporation of correlation effects between market and credit risk is applied to compare quoted and fair theoretical prices. For discount certificates, as the most popular type of structured financial products in Germany, an empirical study is conducted. Compared to earlier studies, total margins are found to be rather low, whereas the portion that draws back to credit risk appears to be a material part of the total margin. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 376–397, 2008
4
2008
28
04
Journal of Futures Markets
376
397
http://hdl.handle.net/
Rainer Baule
Oliver Entrop
Marco Wilkens
oai:RePEc:wly:jfutmk:v:3:y:1983:i:2:p:231-2342015-03-11RePEc
article
Futures Bibliography
2
1983
3
06
Journal of Futures Markets
231
234
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:24:y:2004:i:1:p:93-1152015-03-11RePEc
article
The credit risk components of a swap portfolio
1
2004
24
01
Journal of Futures Markets
93
115
http://hdl.handle.net/
Georges Hübner
oai:RePEc:wly:jfutmk:v:19:y:1999:i:3:p:307-3242015-03-11RePEc
article
The determinants of bid‐ask spreads in the foreign exchange futures market: A microstructure analysis
This paper investigates and analyzes the intraday and daily determinants of bid‐ask spreads (BASs) in the foreign exchange futures (FXF) market. It is found that the number of transactions and the volatility of FXF prices are the major determinants. The number of transactions is negatively related to the BAS, whereas volatility in general is positively related to it. The study also finds that there are economies of scale in trading FXF contracts. The intraday BAS follows a U‐shaped pattern, and they tend to be higher on Mondays and Tuesdays than on other days of the week. Higher spreads at the beginning and end of a trading day are consistent with the presence of adverse selection and the avoidance of the possibility of carrying undesirable inventory overnight, respectively. Seasonal differences in BASs that are related to the delivery date of a contract are also found. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 307–324, 1999
3
1999
19
05
Journal of Futures Markets
307
324
http://hdl.handle.net/
David K. Ding
oai:RePEc:wly:jfutmk:v:31:y:2011:i:12:p:1116-11412015-03-11RePEc
article
The impact of liquidity on option prices
This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei ( 2009 ), a clear link remains between option prices and liquidity; with a reduction (increase) in spot (option) liquidity, there is a corresponding increase in the level of the implied volatility curve. The former is consistent with the explanation on hedging costs provided by Cetin, Jarrow, Protter, and Warachka ( 2006 ), whereas the latter is consistent with the “illiquidity premium” hypothesis of Amihud and Mendelson ( 1986a ). This study also shows that the slope of the implied volatility curve can be partially explained by option liquidity. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark
12
2011
31
12
Journal of Futures Markets
1116
1141
http://hdl.handle.net/
Robin K. Chou
San‐Lin Chung
Yu‐Jen Hsiao
Yaw‐Huei Wang
oai:RePEc:wly:jfutmk:v:30:y:2010:i:3:p:257-2772015-03-11RePEc
article
Do volatility determinants vary across futures contracts? Insights from a smoothed Bayesian estimator
We apply a new Bayesian approach to multiple‐contract futures data. It allows the volatility of futures prices to depend upon physical inventories and the contract's time to delivery—and it allows those parametric effects to vary over time. We investigate price movements for lumber contracts over a 13‐year period and find a time‐varying negative relationship between lumber inventories and lumber futures price volatility. The Bayesian approach leads to different conclusions regarding the size of the inventory effect than does the standard method of parametric restrictions across contracts. The inventory effect is smaller for the most recent contracts when the inventory levels are larger. In contrast, the Bayesian approach does not lead to substantively different conclusions about the time‐to‐delivery effect than do traditional classical methods. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:257–277, 2010
3
2010
30
03
Journal of Futures Markets
257
277
http://hdl.handle.net/
Berna Karali
Jeffrey H. Dorfman
Walter N. Thurman
oai:RePEc:wly:jfutmk:v:16:y:1996:i:5:p:595-6092015-03-11RePEc
article
Linkages between agricultural commodity futures contracts
5
1996
16
08
Journal of Futures Markets
595
609
http://hdl.handle.net/
A. G. Malliaris
Jorge L. Urrutia
oai:RePEc:wly:jfutmk:v:13:y:1993:i:1:p:15-222015-03-11RePEc
article
Pricing interest rate futures options with futures‐style margining
1
1993
13
02
Journal of Futures Markets
15
22
http://hdl.handle.net/
Ren‐Raw Chen
Louis Scott
oai:RePEc:wly:jfutmk:v:21:y:2001:i:11:p:987-10012015-03-11RePEc
article
Two‐State Option Pricing: Binomial Models Revisited
This article revisits the topic of two‐state option pricing. It examines the models developed by Cox, Ross, and Rubinstein (1979), Rendleman and Bartter (1979), and Trigeorgis (1991) and presents two alternative binomial models based on the continuous‐time and discrete‐time geometric Brownian motion processes, respectively. This work generalizes the standard binomial approach, incorporating the main existing models as particular cases. The proposed models are straightforward and flexible, accommodate any drift condition, and afford additional insights into binomial trees and lattice models in general. Furthermore, the alternative parameterizations are free of the negative aspects associated with the Cox, Ross, and Rubinstein model. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:987–1001, 2001
11
2001
21
11
Journal of Futures Markets
987
1001
http://hdl.handle.net/
George M. Jabbour
Marat V. Kramin
Stephen D. Young
oai:RePEc:wly:jfutmk:v:13:y:1993:i:7:p:799-8202015-03-11RePEc
article
Investment performance of public commodity pools: 1979‐1990
7
1993
13
10
Journal of Futures Markets
799
820
http://hdl.handle.net/
Scott H. Irwin
Terry R. Krukemyer
Carl R. Zulauf
oai:RePEc:wly:jfutmk:v:15:y:1995:i:2:p:187-2002015-03-11RePEc
article
Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market
2
1995
15
04
Journal of Futures Markets
187
200
http://hdl.handle.net/
Tae H. Park
Lorne N. Switzer
oai:RePEc:wly:jfutmk:v:15:y:1995:i:1:p:13-382015-03-11RePEc
article
Mixed manipulation strategies in commodity futures markets
1
1995
15
02
Journal of Futures Markets
13
38
http://hdl.handle.net/
Stephen Craig Pirrong
oai:RePEc:wly:jfutmk:v:19:y:1999:i:3:p:325-3512015-03-11RePEc
article
Modeling nonlinear dynamics of daily futures price changes
The purpose of this article is to characterize linear and nonlinear serial dependence in daily futures price changes. The daily prices of four futures are included in this study: (i) S&P 500; (ii) Japanese yen; (iii) Deutsche mark; and (iv) Eurodollar. Our major empirical findings are: (i) Based on the results of nonlinearity tests (that is, the BDS, the Q-super-2, and the TAR‐F tests), we found all futures price changes contain nonlinearity in the series; (ii) a GARCH model can explain the source of nonlinearity for three out of four series; (iii) a threshold autoregressive model and autoregressive volatility model can adequately represent nonlinear dynamics of S&P 500 series; and (iv) deterministic chaos is not evident in the scaled residuals from the nonlinear time series models. Hence we favor a statistical time series approach to represent the data‐generating mechanism of futures price changes. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 325–351, 1999
3
1999
19
05
Journal of Futures Markets
325
351
http://hdl.handle.net/
Andre H. Gao
George H. K. Wang
oai:RePEc:wly:jfutmk:v:13:y:1993:i:7:p:821-8362015-03-11RePEc
article
A theoretical comparison of composite index futures contracts
7
1993
13
10
Journal of Futures Markets
821
836
http://hdl.handle.net/
Donald Lien
Xiangdong Luo
oai:RePEc:wly:jfutmk:v:12:y:1992:i:5:p:595-6012015-03-11RePEc
article
The informational role of end‐of‐the‐day returns in stock index futures
5
1992
12
10
Journal of Futures Markets
595
601
http://hdl.handle.net/
Anthony F. Herbst
Edwin D. Maberly
oai:RePEc:wly:jfutmk:v:4:y:1984:i:1:p:15-232015-03-11RePEc
article
Random processes in prices and technical analysis
1
1984
4
03
Journal of Futures Markets
15
23
http://hdl.handle.net/
William G. Tomek
Scott F. Querin
oai:RePEc:wly:jfutmk:v:26:y:2006:i:5:p:449-4632015-03-11RePEc
article
Static hedging and model risk for barrier options
The article investigates how sensitive different dynamic and static hedge strategies for barrier options are to model risk. It is found that using plain‐vanilla options to hedge offers considerable improvements over usual Δ hedges. Further, it is shown that the hedge portfolios involving options are relatively more sensitive to model risk, but that the degree of misspecification sensitivity is robust across commonly used models. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:449–463, 2006
5
2006
26
05
Journal of Futures Markets
449
463
http://hdl.handle.net/
Morten Nalholm
Rolf Poulsen
oai:RePEc:wly:jfutmk:v:9:y:1989:i:2:p:113-1212015-03-11RePEc
article
Price discovery for feeder cattle
2
1989
9
04
Journal of Futures Markets
113
121
http://hdl.handle.net/
Charles M. Oellermann
B. Wade Brorsen
Paul L. Farris
oai:RePEc:wly:jfutmk:v:8:y:1988:i:5:p:533-5612015-03-11RePEc
article
Daily trading estimates for treasury bond futures contract prices
5
1988
8
10
Journal of Futures Markets
533
561
http://hdl.handle.net/
Karin Peterson LaBarge
oai:RePEc:wly:jfutmk:v:13:y:1993:i:4:p:335-3442015-03-11RePEc
article
State space modeling of price and volume dependence: Evidence from currency futures
4
1993
13
06
Journal of Futures Markets
335
344
http://hdl.handle.net/
Joseph McCarthy
Mohammad Najand
oai:RePEc:wly:jfutmk:v:30:y:2010:i:11:p:1007-10252015-03-11RePEc
article
A new simple square root option pricing model
This study derives a simple square root option pricing model using a general equilibrium approach in an economy where the representative agent has a generalized logarithmic utility function. Our option pricing formulae, like the Black–Scholes model, do not depend on the preference parameters of the utility function of the representative agent. Although the Black–Scholes model introduces limited liability in asset prices by assuming that the logarithm of the stock price has a normal distribution, our basic square root option pricing model introduces limited liability by assuming that the square root of the stock price has a normal distribution. The empirical tests on the S&P 500 index options market show that our model has smaller fitting errors than the Black–Scholes model, and that it generates volatility skews with similar shapes to those observed in the marketplace. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
11
2010
30
11
Journal of Futures Markets
1007
1025
http://hdl.handle.net/
António Câmara
Yaw‐huei Wang
oai:RePEc:wly:jfutmk:v:16:y:1996:i:4:p:441-4582015-03-11RePEc
article
Optimum futures hedges with jump risk and stochastic basis
4
1996
16
06
Journal of Futures Markets
441
458
http://hdl.handle.net/
Carolyn W. Chang
Jack S.K. Chang
Hsing Fang
oai:RePEc:wly:jfutmk:v:28:y:2008:i:6:p:582-5972015-03-11RePEc
article
Credit risk management in Greater China
In this paper the focus is on market‐wide credit protection. More exactly, the newly introduced iTraxx Greater China credit default swap (CDS) index is examined, and to what degree this index can be used to protect against market‐wide credit risk in the Greater China area is assessed. Although the iTraxx Greater China CDS index is found to be significantly correlated with both the value and volatility of an equally weighted stock portfolio of the names in the CDS index itself, it is found to move more or less independently from some of the most widely used stock indexes in the Greater China region. Not surprisingly, considering the geographical distribution of the constituents in the iTraxx Greater China index, the major stock indexes covering mainland China are found to be particularly uncorrelated with the CDS index. Based on well‐known theoretical arguments as well as extensive empirical evidence in the literature, it is argued that this makes it difficult to manage credit risk in mainland China using the iTraxx Greater China CDS index, at least until more mainland China names have been included in the CDS index. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:582–597, 2008
6
2008
28
06
Journal of Futures Markets
582
597
http://hdl.handle.net/
Hans Byström
oai:RePEc:wly:jfutmk:v:13:y:1993:i:4:p:409-4312015-03-11RePEc
article
Scalper behavior in futures markets: An empirical examination
4
1993
13
06
Journal of Futures Markets
409
431
http://hdl.handle.net/
Gregory J. Kuserk
Peter R. Locke
oai:RePEc:wly:jfutmk:v:23:y:2003:i:11:p:1019-10462015-03-11RePEc
article
Asymmetric covariance in spot‐futures markets
This article studies how the spot‐futures conditional covariance matrix responds to positive and negative innovations. The main results of the article are achieved by obtaining the Volatility Impulse Response Function (VIRF) for asymmetric multivariate GARCH structures, extending Lin (1997) findings for symmetric GARCH models. This theoretical result is general and can be applied to analyze covariance dynamics in any financial system. After testing how multivariate GARCH models clean up volatility asymmetries, the Asymmetric VIRF is computed for the Spanish stock index IBEX‐35 and its futures contract. The empirical results indicate that the spot‐futures variance system is more sensitive to negative than positive shocks, and that spot volatility shocks have much more impact on futures volatility than vice versa. Additionally, evidence is obtained showing that optimal hedge ratios are insensitive to the well‐known asymmetric volatility behavior in stock markets. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1019–1046, 2003
11
2003
23
11
Journal of Futures Markets
1019
1046
http://hdl.handle.net/
Vicente Meneu
Hipòlit Torró
oai:RePEc:wly:jfutmk:v:3:y:1983:i:3:p:339-3402015-03-11RePEc
article
Legal notes
3
1983
3
09
Journal of Futures Markets
339
340
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:12:y:1992:i:2:p:163-1752015-03-11RePEc
article
Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges
2
1992
12
04
Journal of Futures Markets
163
175
http://hdl.handle.net/
Bruce A. Benet
oai:RePEc:wly:jfutmk:v:31:y:2011:i:5:p:487-5012015-03-11RePEc
article
Market efficiency among futures with different maturities: Evidence from the crude oil futures market
Although many studies have investigated market efficiency of spot and futures prices, that among futures with different maturities has not been studied extensively. In this study, market efficiency and unbiasedness among such futures are defined and the concept of “consistently efficient (or consistently efficient and unbiased) market within n‐month maturity” is introduced. According to this definition, market efficiency and unbiasedness among WTI futures with different maturities are tested using cointegration analysis, and short‐term market efficiency, using an error correction model and GARCH‐M‐ECM. The results show that WTI futures are consistently efficient within 8‐month maturity and consistently efficient and unbiased within 2‐month maturity. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:487–501, 2011
5
2011
31
05
Journal of Futures Markets
487
501
http://hdl.handle.net/
Kaoru Kawamoto
Shigeyuki Hamori
oai:RePEc:wly:jfutmk:v:3:y:1983:i:4:p:429-4382015-03-11RePEc
article
Cross hedging CDs with treasury bill futures
4
1983
3
12
Journal of Futures Markets
429
438
http://hdl.handle.net/
Andrew J. Senchack Jr.
John C. Easterwood
oai:RePEc:wly:jfutmk:v:16:y:1996:i:6:p:611-6292015-03-11RePEc
article
S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
6
1996
16
09
Journal of Futures Markets
611
629
http://hdl.handle.net/
Charles J. Corrado
Tie Su
oai:RePEc:wly:jfutmk:v:14:y:1994:i:6:p:709-7562015-03-11RePEc
article
The gold‐silver spread: Integration, cointegration, predictability, and ex‐ante arbitrage
6
1994
14
09
Journal of Futures Markets
709
756
http://hdl.handle.net/
Mahmoud Wahab
Richard Cohn
Malek Lashgari
oai:RePEc:wly:jfutmk:v:24:y:2004:i:6:p:533-5552015-03-11RePEc
article
The performance of event study approaches using daily commodity futures returns
Simulations are conducted to assess the inferential accuracy of statistical event study approaches using daily futures returns. Methods examined include constant mean return models and several regression models—OLS, GARCH(1,1), and a GARCH(1,1) model having an error term with a Student's t distribution. The simulations address four of the most commonly analyzed agricultural futures commodities—corn, soybeans, live cattle, and hogs. In terms of the size of the test statistics, constant mean return models with short normal periods perform poorly, leading to unacceptably high rejection rates of the null hypothesis. Test statistics from constant mean return models with longer normal periods, OLS, and GARCH specifications provide rejection rates largely consistent with those of a unit normal distribution. Test statistics from all models are powerful enough to detect abnormal performance levels below those that would trigger limit locks. At small levels of abnormal performance the GARCH(1,1) model with a t distribution was consistently the most powerful model. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:533–555, 2004
6
2004
24
06
Journal of Futures Markets
533
555
http://hdl.handle.net/
Andrew M. Mckenzie
Michael R. Thomsen
Bruce L. Dixon
oai:RePEc:wly:jfutmk:v:16:y:1996:i:7:p:735-7552015-03-11RePEc
article
Time‐varying risk premia in the foreign currency futures basis
7
1996
16
10
Journal of Futures Markets
735
755
http://hdl.handle.net/
Christopher F. Baum
John Barkoulas
oai:RePEc:wly:jfutmk:v:8:y:1988:i:1:p:89-972015-03-11RePEc
article
Undated futures markets
1
1988
8
02
Journal of Futures Markets
89
97
http://hdl.handle.net/
Adam K. Gehr Jr.
oai:RePEc:wly:jfutmk:v:10:y:1990:i:2:p:113-1212015-03-11RePEc
article
Potential use of futures markets for international marketing of cǒcte d'Ivoire coffee
2
1990
10
04
Journal of Futures Markets
113
121
http://hdl.handle.net/
Korotoumou Ouattara
Ted C. Schroeder
L. Orlo Sorenson
oai:RePEc:wly:jfutmk:v:9:y:1989:i:5:p:421-4372015-03-11RePEc
article
On the value of the implicit delivery options
5
1989
9
10
Journal of Futures Markets
421
437
http://hdl.handle.net/
Shantaram P. Hegde
oai:RePEc:wly:jfutmk:v:23:y:2003:i:6:p:517-5342015-03-11RePEc
article
The valuation of multiple stock warrants
The issue of multiple series of stock purchase warrants by the same firm is an interesting financial structure not just in America, but is common in countries such as Switzerland, Malaysia, and Singapore. This paper derives valuation formulas for multiple series of outstanding warrants. The theoretical warrant prices from this model are compared against existing models. We report a subtle slippage effect and also a cross dilution effect that cause the existing models, such as Galai‐Schneller model, to be inappropriate for pricing such classes of multiple warrants. We also provide an example to illustrate the practicality of our model. The Greeks of the model are also derived in this paper. The complexity of multiple warrants could extend to other classes of contingent securities issued by the same firm but with differing expiry terms. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:517–534, 2003
6
2003
23
06
Journal of Futures Markets
517
534
http://hdl.handle.net/
Kian‐Guan Lim
Eric Terry
oai:RePEc:wly:jfutmk:v:19:y:1999:i:2:p:233-2442015-03-11RePEc
article
A Note: The CSCE cheddar cheese cash and futures price long‐term equilibrium relationship revisited
In the early 1990s, after four decades of relying on government mandated minimum price supports and public stockholding to achieve price risk management, the United States dairy industry is undertaking a shift to a market clearing equilibrium system. A potentially important component of this new structure is the development of an operational futures market for selected milk and dairy products. In June of 1993 the Coffee, Sugar, & Cocoa Exchange introduced a contract on Cheddar Cheese. As the production of cheese represents over one third of the use of raw milk in the United States, this contract has the potential of serving as an important price risk management tool. Using unit root and cointegration techniques, Fortenbery and Zapata studied the cheese cash‐futures relationship over the period June 1993–July 1995. They reach the conclusion that the cash and futures markets, during the period of their analysis, had not established an economic equilibrium relationship. F&Z raise the important question as to whether the cheddar cheese market is in some sense “slow” to develop or whether there something fundamentally amiss. The work of F&Z provides an important initial step toward understanding the cash–futures relationship. This research revisits the existence of a cointegrating relation using a much longer time period and additional time‐series statistical tests. The results of this study suggest that the data support the establishment of an equilibrium relationship in the cheese markets and therefore provide support for the use of the futures market as a price risk management tool by the dairy industry. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 233–244, 1999
2
1999
19
04
Journal of Futures Markets
233
244
http://hdl.handle.net/
Cameron S. Thraen
oai:RePEc:wly:jfutmk:v:27:y:2007:i:12:p:1159-11742015-03-11RePEc
article
Transactions in futures markets: Informed or uninformed?
Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages in futures markets do not contain information. This study controls for methodological and sample differences in examining the price impact of individual trades and trade packages. We find little evidence that transactions in futures markets contain information. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1159–1174, 2007
12
2007
27
12
Journal of Futures Markets
1159
1174
http://hdl.handle.net/
Alex Frino
Jennifer Kruk
Andrew Lepone
oai:RePEc:wly:jfutmk:v:13:y:1993:i:6:p:645-6642015-03-11RePEc
article
Short sales restrictions and the temporal relationship between stock index cash and derivatives markets
6
1993
13
09
Journal of Futures Markets
645
664
http://hdl.handle.net/
Vesa Puttonen
oai:RePEc:wly:jfutmk:v:9:y:1989:i:6:p:583-5882015-03-11RePEc
article
Sampled data as a basis of cash settlement price
6
1989
9
12
Journal of Futures Markets
583
588
http://hdl.handle.net/
Da‐Hsiang Donald Lien
oai:RePEc:wly:jfutmk:v:30:y:2010:i:2:p:101-1332015-03-11RePEc
article
A maximal affine stochastic volatility model of oil prices
This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three‐factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasi‐analytical formulas for futures and options prices. It allows for time‐varying correlation structures between the spot price and convenience yield, the spot price and its volatility, and the volatility and convenience yield. It allows for expected mean‐reversion in the short term and for an increasing expected long‐term price, and for time‐varying risk premia. Furthermore, the model allows for the situation in which options' prices depend on risk not fully spanned by futures prices. These properties are desirable and empirically important for modeling many commodities, especially crude oil. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:101–133, 2010
2
2010
30
02
Journal of Futures Markets
101
133
http://hdl.handle.net/
W. Keener Hughen
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:837-8472015-03-11RePEc
article
Hedge ratios and basis behavior: An intuitive insight?
8
1993
13
12
Journal of Futures Markets
837
847
http://hdl.handle.net/
Carl E. Shafer
oai:RePEc:wly:jfutmk:v:2:y:1982:i:1:p:105-1052015-03-11RePEc
article
The delivery period and daily price limits: A comment
1
1982
2
03
Journal of Futures Markets
105
105
http://hdl.handle.net/
Edwin D. Maberly
oai:RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1117-11172015-03-11RePEc
article
Editor's Note
12
2008
28
12
Journal of Futures Markets
1117
1117
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:15:y:1995:i:4:p:395-4212015-03-11RePEc
article
Intraday volatility in interest rate and foreign exchange spot and futures markets
4
1995
15
06
Journal of Futures Markets
395
421
http://hdl.handle.net/
Susan J. Craln
Jae Ha Lee
oai:RePEc:wly:jfutmk:v:4:y:1984:i:2:p:125-1322015-03-11RePEc
article
The behavior of event‐related returns on oil futures contracts
2
1984
4
06
Journal of Futures Markets
125
132
http://hdl.handle.net/
Dennis W. Draper
oai:RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1049-10642015-03-11RePEc
article
An empirical examination of the pricing of exchange‐traded barrier options
Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European options were simultaneously traded. As a result, the pricing of barrier options may be compared both with their theoretical valuations and with the pricing of otherwise identical European options. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1049–1064, 2004
11
2004
24
11
Journal of Futures Markets
1049
1064
http://hdl.handle.net/
Steve Easton
Richard Gerlach
Melissa Graham
Frank Tuyl
oai:RePEc:wly:jfutmk:v:10:y:1990:i:2:p:123-1362015-03-11RePEc
article
Dominant‐satellite relationships between live cattle cash and futures markets
2
1990
10
04
Journal of Futures Markets
123
136
http://hdl.handle.net/
Stephen R. Koontz
Philip Garcia
Michael A. Hudson
oai:RePEc:wly:jfutmk:v:31:y:2011:i:2:p:126-1642015-03-11RePEc
article
Demutualization and customer protection at self‐regulatory financial exchanges
In the past decade, many of the world's largest financial exchanges have demutualized, i.e., converted from mutual, not‐for‐profit organizations to publicly‐traded, for‐profit firms. In most cases, these exchanges have substantial responsibilities with respect to enforcing various “trade practice” regulations that protect investors from dishonest agents. We examine how the incentives to enforce such rules change as an exchange demutualizes. In contrast to oft‐stated concerns, we find that, in many circumstances, an exchange that maximizes shareholder (rather than member) income has a greater incentive to aggressively enforce these types of regulations. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:126–164, 2011
2
2011
31
02
Journal of Futures Markets
126
164
http://hdl.handle.net/
David Reiffen
Michel Robe
oai:RePEc:wly:jfutmk:v:24:y:2004:i:10:p:923-9442015-03-11RePEc
article
Interdealer trading in futures markets
Trading amongst dealers on the floor of the futures exchange is examined. Since there is only one trading venue, the common floor area, trading between dealers is carried on in the presence of trades involving customer orders as well, offering a unique setting for testing the effect of inventory on dealer pricing. The findings are that these futures floor traders implicitly engage in interdealer trading as an inventory management tool. Interdealer trades are more likely to be position reducing than other trades, at higher costs than offsetting with customers. In addition, the concept of a dealer hierarchy is developed, where some floor traders, who generally are more successful, profit from their trades with other dealers. Furthermore, these more successful traders are more likely to use interdealer trading in position reducing trades, which is consistent with the existence of a dealer hierarchy. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:923–944, 2004
10
2004
24
10
Journal of Futures Markets
923
944
http://hdl.handle.net/
Peter R. Locke
Pattarake Sarajoti
oai:RePEc:wly:jfutmk:v:8:y:1988:i:1:p:123-1262015-03-11RePEc
article
Futures Bibliography
1
1988
8
02
Journal of Futures Markets
123
126
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:22:y:2002:i:4:p:315-3382015-03-11RePEc
article
On the enhanced convergence of standard lattice methods for option pricing
For derivative securities that must be valued by numerical techniques, the trade‐off between accuracy and computation time can be a severe limitation. For standard lattice methods, improvements are achievable by modifying the underlying structure of these lattices; however, convergence usually remains non‐monotonic. In an alternative approach of general application, it is shown how to use standard methods, such as Cox, Ross, and Rubinstein (CRR), trinomial trees, or finite differences, to produce uniformly converging numerical results suitable for straightforward extrapolation. The concept of Λ, a normalized distance between the strike price and the node above, is introduced, which has wide ranging significance. Accuracy is improved enormously with computation times reduced, often by orders of magnitude. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:315–338, 2002
4
2002
22
04
Journal of Futures Markets
315
338
http://hdl.handle.net/
Martin Widdicks
Ari D. Andricopoulos
David P. Newton
Peter W. Duck
oai:RePEc:wly:jfutmk:v:29:y:2009:i:2:p:114-1362015-03-11RePEc
article
After‐hours trading in equity futures markets
Although it is well known that electronic futures data absorb news (slightly) in advance of spot markets the role of the electronic futures movement in out‐of‐hours trading has not previously been explored. The behavior of the 24‐hour trade in the S&P 500 and NASDAQ 100 futures market reveals the important role of these markets in absorbing news releases occurring outside of normal trading hours. Peaks in volume and volatility in this market occur in conjunction with U.S. 8:30 A.M. EST news releases, before the opening of the open‐outcry markets, and in a less pronounced fashion immediately post‐close the open‐outcry market. Price impact in these markets is statistically higher in the post‐close than in the pre‐open periods. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:114–136, 2009
2
2009
29
02
Journal of Futures Markets
114
136
http://hdl.handle.net/
Mardi Dungey
Luba Fakhrutdinova
Charles Goodhart
oai:RePEc:wly:jfutmk:v:16:y:1996:i:1:p:113-1272015-03-11RePEc
article
Options bibliography
1
1996
16
02
Journal of Futures Markets
113
127
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:11:y:1991:i:5:p:603-6122015-03-11RePEc
article
Estimation of the optimal hedge ratio, expected utility, and ordinary least squares regression
5
1991
11
10
Journal of Futures Markets
603
612
http://hdl.handle.net/
John Heaney
Geoffrey Poitras
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:943-9452015-03-11RePEc
article
Futures bibliography
8
1993
13
12
Journal of Futures Markets
943
945
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:22:y:2002:i:3:p:219-2402015-03-11RePEc
article
The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange
This paper focuses on the increasing competition between exchanges for listing similar index futures contracts and the impact this has on information dissemination between various markets. Specifically, using both the Hasbrouck and Gonzalo–Granger methodologies for extracting the information content held in each market, a comparison of information efficiencies between the Singapore Exchange and the Taiwan Futures Exchange is examined for Taiwan Index Futures listed in both markets. The results show not only a common stochastic trend between index futures and their underlying indices, but also provide strong evidence to suggest price discovery primarily originates from the Singapore futures market. There are direct implications of this result for both financial exchanges and traders—in particular, that traders realize price determination can arise from both futures markets, and the need for exchanges to maintain a reputation as an information center for these similarly traded financial instruments. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 219–240, 2002
3
2002
22
03
Journal of Futures Markets
219
240
http://hdl.handle.net/
Matthew Roope
Ralf Zurbruegg
oai:RePEc:wly:jfutmk:v:21:y:2001:i:8:p:713-7352015-03-11RePEc
article
Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading
On May 10, 1999, the London International Financial Futures and Options Exchange (LIFFE) transferred trading in the Financial Times Stock Exchange (FTSE) 100 Index futures contracts from outcry to LIFFE CONNECT, its electronic trading system. We find lower spreads in the electronic market after the transition. However, the open outcry mechanism has higher market quality (or smaller variance of the pricing error) on the basis of Hasbrouck's (1993) model. Furthermore, employing the Hasbrouck (1991) model, we show that trades in the open outcry market have higher information content. Inventory control considerations also affect the electronic market more than the open outcry market. The overall results suggest that electronic trading should complement, but not replace, open outcry in futures markets. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 713–735, 2001
8
2001
21
08
Journal of Futures Markets
713
735
http://hdl.handle.net/
Yiuman Tse
Tatyana V. Zabotina
oai:RePEc:wly:jfutmk:v:25:y:2005:i:2:p:105-1332015-03-11RePEc
article
Traders' strategic behavior in an index options market
We analyze traders' strategic behavior in an index options market, examining the relationships among expected duration, frequency of trades, trade size, and time to maturity using a modified ACD model. Using intraday data at‐the‐money put and call options, we obtain the following results: (1) Frequency of trades contains more information about future option price volatility than does trade size. This may result from institutional or large traders who have issued naked options using the delta‐neutral strategy to hedge those options. This also suggests that informed traders use their informational advantage little by little, rather than all at once. (2) Option volatility increases as the maturity date approaches, contradicting the prediction of the Black‐Scholes model. (3) The duration of the previous interval has a persistent effect on expected duration of the current interval. (4) For the estimation of the modified ACD model, the standardized distribution of duration is Weibull with γ > 1, not exponential. (5) The duration in the options market exhibits an inverse U‐shaped diurnal pattern, much like that of the U.S. stock market. However, unlike in the U.S. stock market, the index options duration becomes much shorter right before lunch hour (12:00 pm). © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:105–133, 2005
2
2005
25
02
Journal of Futures Markets
105
133
http://hdl.handle.net/
Kyong Shik Eom
Sang Buhm Hahn
oai:RePEc:wly:jfutmk:v:29:y:2009:i:10:p:895-9192015-03-11RePEc
article
Reverse convertible bonds analyzed
We study the pricing of reverse convertible (RC) bonds. These are bonds that carry high coupon payments. In exchange, the issuer has an option at the maturity date to either redeem the bonds in cash or to deliver a pre‐specified number of shares. We find that Dutch plain vanilla and knock‐in RC bonds are, on average, overpriced by almost 6%. This overpricing is confirmed in a model‐free analysis with respect to option‐ and bond‐pricing models. We find that rational factors explain 23% of the documented overpricing. In addition, we find that the combination of financial marketing, framing, and the representativeness bias further increases our ability to explain the documented overpricing to more than 35%. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:895–919, 2009
10
2009
29
10
Journal of Futures Markets
895
919
http://hdl.handle.net/
Marta Szymanowska
Jenke Ter Horst
Chris Veld
oai:RePEc:wly:jfutmk:v:22:y:2002:i:11:p:1059-10822015-03-11RePEc
article
Cross‐market correlations and transmission of information
We investigate characteristics of cross‐market correlations using daily data from U.S. stock, bond, money, and currency futures markets using a new multivariate GARCH model that permits direct hypothesis testing on conditional correlations. We find evidence that arrival of information in a market affects subsequent cross‐market conditional correlations in the sample period following the stock market crash of 1987, but there is little evidence of such a relationship in the precrash period. In the postcrash period, we also find evidence that the prime rate of interest affects daily correlations between futures returns. Furthermore, we find that conditional correlations between currency futures and other markets decline steeply a few months before the crash and revert to normal dynamics after the crash. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1059–1082, 2002
11
2002
22
11
Journal of Futures Markets
1059
1082
http://hdl.handle.net/
Salim M. Darbar
Partha Deb
oai:RePEc:wly:jfutmk:v:29:y:2009:i:8:p:695-7122015-03-11RePEc
article
Empirical evidence on the dependence of credit default swaps and equity prices
We investigate the common practice of estimating the dependence structure between credit default swap prices on multi‐name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for high‐yield instruments and that it may even be flawed for instruments containing only firms within a sector. To do this, we model individual credit ratings by univariate continuous time Markov chains, and their joint dynamics by copulas. The use of copulas allows us to incorporate our knowledge of the modeling of univariate processes, into a multivariate framework. However, our test and results are robust to the choice of copula. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:695–712, 2009
8
2009
29
08
Journal of Futures Markets
695
712
http://hdl.handle.net/
Debbie Dupuis
Eric Jacquier
Nicolas Papageorgiou
Bruno Rémillard
oai:RePEc:wly:jfutmk:v:21:y:2001:i:3:p:237-2552015-03-11RePEc
article
New insights into the impact of the introduction of futures trading on stock price volatility
We examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (i.e., individual share futures, or ISFs) has impacted on the systematic risk and volatility of the underlying shares. The use of ISFs allows a unique experimental design that complements existing work on index futures. Our major findings are as follows. First, we found a general reduction in systematic risk on individual stocks after the listing of futures. Second, we found evidence of a decline in unconditional volatility. Third, we found mixed evidence concerning the impact on conditional volatility. Fourth, the introduction of futures was found to impact on the market dynamics, as reflected by a change in the asymmetric volatility response, although the direction of that change is stock‐specific. In general, the results point to a number of features that are case‐specific and provide new insights into the mixed results that are typical of existing studies. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:237–255, 2001
3
2001
21
03
Journal of Futures Markets
237
255
http://hdl.handle.net/
Michael D. McKenzie
Timothy J. Brailsford
Robert W. Faff
oai:RePEc:wly:jfutmk:v:12:y:1992:i:6:p:645-6582015-03-11RePEc
article
The effect of futures trading on the stability of standard and poor 500 returns
6
1992
12
12
Journal of Futures Markets
645
658
http://hdl.handle.net/
Avraham Kamara
Thomas W. Miller Jr.
Andrew F. Siegel
oai:RePEc:wly:jfutmk:v:15:y:1995:i:8:p:953-9702015-03-11RePEc
article
Forecasting futures trading volume using neural networks
8
1995
15
12
Journal of Futures Markets
953
970
http://hdl.handle.net/
Iebeling Kaastra
Milton S. Boyd
oai:RePEc:wly:jfutmk:v:7:y:1987:i:4:p:443-4572015-03-11RePEc
article
A portfolio approach to optimal hedging for a commercial cattle feedlot
4
1987
7
08
Journal of Futures Markets
443
457
http://hdl.handle.net/
Paul E. Peterson
Raymond M. Leuthold
oai:RePEc:wly:jfutmk:v:11:y:1991:i:5:p:567-5752015-03-11RePEc
article
A cointegration test for market efficiency
5
1991
11
10
Journal of Futures Markets
567
575
http://hdl.handle.net/
Kon S. Lai
Michael Lai
oai:RePEc:wly:jfutmk:v:20:y:2000:i:4:p:307-3202015-03-11RePEc
article
The intraday distribution of volatility and the value of wildcard options
This study investigates the value of the wildcard option embedded in the American FT‐SE 100 index (SEI) options. Model‐based studies of S&P 100 index options show the embedded wildcard option to have significant value. By contrast, nonparametric tests on SEI options indicate that the wildcard has very little value. The contrasting results arise because U.S. studies observe a high level of volatility during the 15‐minute wildcard period, whereas the 21‐minute wildcard period in London is relatively quiet. The present study highlights the sensitivity of the wildcard value to the intraday distribution of volatility and indicates the difficulty in estimating the wildcard period volatility, since it is itself volatile. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 307–320, 2000
4
2000
20
04
Journal of Futures Markets
307
320
http://hdl.handle.net/
Paul Dawson
oai:RePEc:wly:jfutmk:v:10:y:1990:i:3:p:307-3212015-03-11RePEc
article
An intertemporal measure of hedging effectiveness
3
1990
10
06
Journal of Futures Markets
307
321
http://hdl.handle.net/
Jack S. K. Chang
Hsing Fang
oai:RePEc:wly:jfutmk:v:10:y:1990:i:1:p:29-392015-03-11RePEc
article
Risk and return in copper, platinum, and silver futures
1
1990
10
02
Journal of Futures Markets
29
39
http://hdl.handle.net/
Eric C. Chang
Chao Chen
Son‐Nan Chen
oai:RePEc:wly:jfutmk:v:9:y:1989:i:2:p:87-992015-03-11RePEc
article
Cross hedging the Italian Lira/US dollar exchange rate with deutsch mark futures
2
1989
9
04
Journal of Futures Markets
87
99
http://hdl.handle.net/
Francesco S. Braga
Larry J. Martin
Karl D. Meilke
oai:RePEc:wly:jfutmk:v:20:y:2000:i:5:p:467-4872015-03-11RePEc
article
The lead–lag relationship between equities and stock index futures markets around information releases
This paper documents a strengthening in the lead of stock index futures returns over stock index returns around macroeconomic information releases. Some evidence of a strengthening in feedback from the equities market to the futures market and weakening in the lead of the futures market around major stock‐specific information releases is also provided. This is consistent with the hypothesis that investors with better marketwide information prefer to trade in stock index futures while investors with stock‐specific information prefer to trade in underlying stocks. A small weakening in the contemporaneous relationship between stock index futures returns and stock index returns around both types of releases is also documented. This is consistent with disintegration in the relationship between the two markets associated with noise induced volatility. One by‐product of this study is new comparative evidence on the performance of adjustments for infrequent trading of index stocks based on a commonly used ARMA technique versus recalculation of the stock index using quote midpoints. The results suggest that the quote midpoint index performs at least as well as the ARMA adjusted index across the entire sample period, as well as around the different types of information releases. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:467–487, 2000
5
2000
20
05
Journal of Futures Markets
467
487
http://hdl.handle.net/
Alex Frino
Terry Walter
Andrew West
oai:RePEc:wly:jfutmk:v:1:y:1981:i:3:p:303-3162015-03-11RePEc
article
The relationship between volume and price variability in futures markets
3
1981
1
09
Journal of Futures Markets
303
316
http://hdl.handle.net/
Bradford Cornell
oai:RePEc:wly:jfutmk:v:7:y:1987:i:2:p:169-1812015-03-11RePEc
article
An investigation into seasonality in the futures market
2
1987
7
04
Journal of Futures Markets
169
181
http://hdl.handle.net/
Gerald D. Gay
Tae‐Hyuk Kim
oai:RePEc:wly:jfutmk:v:19:y:1999:i:2:p:127-1522015-03-11RePEc
article
Optimal margin level in futures markets: Extreme price movements
Along with price limits and capital requirements, the margin mechanism ensures the integrity of futures markets. Margin committees and brokers in futures markets face a trade‐off when setting the margin level. A high level protects brokers against insolvent customers and thus reinforces market integrity, but it also increases the cost supported by investors and in the end makes the market less attractive. This article develops a new method for setting the margin level in futures markets. It is based on “extreme value theory,” which gives interesting results on the distribution of extreme values of a random process. This extreme value distribution is used to compute the margin level for a given probability value of margin violation desired by margin committees or brokers. Extreme movements are central to the margin‐setting problem, because only a large price variation may cause brokers to incur losses. An empirical study using prices of silver futures contracts traded on COMEX is also presented. The comparison of the extreme value method with a method based on normality shows that using normality leads to dramatic underestimates of the margin level. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 127–152, 1999
2
1999
19
04
Journal of Futures Markets
127
152
http://hdl.handle.net/
François M. Longin
oai:RePEc:wly:jfutmk:v:5:y:1985:i:1:p:127-1292015-03-11RePEc
article
Legal notes
1
1985
5
03
Journal of Futures Markets
127
129
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:17:y:1997:i:6:p:617-6322015-03-11RePEc
article
Estimating cash settlement price: The bootstrap and other estimators
6
1997
17
09
Journal of Futures Markets
617
632
http://hdl.handle.net/
John Cita
Donald Lien
oai:RePEc:wly:jfutmk:v:11:y:1991:i:5:p:647-6492015-03-11RePEc
article
The relationship between stock indices and stock index futures from 3:00 to 3:15: A clarification
5
1991
11
10
Journal of Futures Markets
647
649
http://hdl.handle.net/
Thomas V. Schwarz
oai:RePEc:wly:jfutmk:v:7:y:1987:i:6:p:603-6172015-03-11RePEc
article
The use of crude oil futures by the governments of oil‐producing states
6
1987
7
12
Journal of Futures Markets
603
617
http://hdl.handle.net/
James A. Overdahl
oai:RePEc:wly:jfutmk:v:1:y:1981:i:2:p:161-1672015-03-11RePEc
article
Comments on “innovation, competition, and new contract design in futures markets”
2
1981
1
06
Journal of Futures Markets
161
167
http://hdl.handle.net/
James Kurt Dew
oai:RePEc:wly:jfutmk:v:4:y:1984:i:4:p:531-5572015-03-11RePEc
article
Stable distributions, futures prices, and the measurement of trading performance
4
1984
4
12
Journal of Futures Markets
531
557
http://hdl.handle.net/
Ronald W. Cornew
Donald E. Town
Lawrence D. Crowson
oai:RePEc:wly:jfutmk:v:19:y:1999:i:6:p:717-7332015-03-11RePEc
article
Harvest contract price volatility for cotton
Changes in agricultural and international trade policy have increased attention to issues of price volatility and risk management. Previous work in the area of price volatility has typically focused on grains, with little work dealing with cotton. The objective of this analysis was to examine the determinants of price volatility for cotton, focusing on the growing season volatility of the harvest contract. Different econometric techniques, including ARCH/GARCH, were employed to estimate the effects of a set of variables on price volatility. The potential for a nonlinear relationship between price and volatility was examined. Findings suggest a significant seasonal pattern to volatility as well as a nonlinear relationship between price and volatility. The results also suggest that cotton price volatility has not significantly changed with respect to changes in agricultural policy. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 717–733, 1999
6
1999
19
09
Journal of Futures Markets
717
733
http://hdl.handle.net/
Darren Hudson
Keith Coble
oai:RePEc:wly:jfutmk:v:23:y:2003:i:6:p:577-6022015-03-11RePEc
article
The effectiveness of coordinating price limits across futures and spot markets
We extend the work of Brennan ( 1986 ) to investigate whether the imposition of spot price limits can further reduce the default risk and lower the effective margin requirement for a futures contract that is already under price limits. Our results show that spot price limits do indeed further reduce the default risk and margin requirement effectively. In addition, the more precise the information is that comes from the spot market, the more the spot price limit rule constrains the information available to the losing party. The default probability, contract costs, and margin requirements are then lowered to a greater degree. Furthermore, for a given margin, both spot price limits and futures price limits can partially substitute for each other in ensuring contract performance. The common practice of imposing equal price limits on both the spot and futures markets, though not coinciding with the efficient contract design, has a lower contract cost and margin requirement than that without imposing spot price limits. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:577–602, 2003
6
2003
23
06
Journal of Futures Markets
577
602
http://hdl.handle.net/
Pin‐Huang Chou
Mei‐Chen Lin
Min‐Teh Yu
oai:RePEc:wly:jfutmk:v:13:y:1993:i:4:p:357-3712015-03-11RePEc
article
Risk premia in the futures and forward markets
4
1993
13
06
Journal of Futures Markets
357
371
http://hdl.handle.net/
Rick Cooper
oai:RePEc:wly:jfutmk:v:10:y:1990:i:6:p:673-6742015-03-11RePEc
article
Limit moves and price resolution: The case of the treasury bond futures market: A comment
6
1990
10
12
Journal of Futures Markets
673
674
http://hdl.handle.net/
Gregory J. Kuserk
oai:RePEc:wly:jfutmk:v:12:y:1992:i:4:p:475-4872015-03-11RePEc
article
Futures prices are not stable‐paretian distributed
4
1992
12
08
Journal of Futures Markets
475
487
http://hdl.handle.net/
Donald W. Gribbin
Randy W. Harris
Hon‐Shiang Lau
oai:RePEc:wly:jfutmk:v:10:y:1990:i:1:p:13-272015-03-11RePEc
article
Information content of volatilities implied by option premiums in grain futures markets
1
1990
10
02
Journal of Futures Markets
13
27
http://hdl.handle.net/
William W. Wilson
Hung‐Gay Fung
oai:RePEc:wly:jfutmk:v:7:y:1987:i:1:p:93-1012015-03-11RePEc
article
Funds protections: An overview of what happens when a commodity broker becomes insolvent
1
1987
7
02
Journal of Futures Markets
93
101
http://hdl.handle.net/
William F. Tueting
Christopher Q. King
oai:RePEc:wly:jfutmk:v:11:y:1991:i:1:p:121-1332015-03-11RePEc
article
Futures bibliography
1
1991
11
02
Journal of Futures Markets
121
133
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:21:y:2001:i:1:p:79-1082015-03-11RePEc
article
Rational speculative bubbles in the gold futures market: An application of dynamic factor analysis
The existence of speculative bubbles in financial markets has been a longstanding issue under debate. Many financial economists believe that, given the assumption of rational expectations and rational behavior of economic agents, an asset should be priced according to its “market fundamentals.” Others argue that self‐fulfilling rumors of market participants can influence asset prices as well. These self‐fulfilling rumors are initiated by events extraneous to markets and are often called bubbles. The rationality of both expectations and behavior often does not imply that the price of an asset be equal to its fundamental value. In other words, there can be rational deviations of the price from this value—rational bubbles. A rational bubble can arise when the actual market price depends positively on its own expected rate of change, as normally occurs in asset markets. Since agents forming rational expectations do not make systematic prediction errors, the positive relationship between price and its expected rate of change implies a similar relationship between price and its actual rate of change. Under such conditions, the arbitrary, self‐fulfilling expectation of price changes may drive actual price changes independently of market fundamentals; we refer to such a situation as a rational price bubble.-super-1 © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:79–108, 2001
1
2001
21
01
Journal of Futures Markets
79
108
http://hdl.handle.net/
Mark Bertus
Bryan Stanhouse
oai:RePEc:wly:jfutmk:v:15:y:1995:i:5:p:585-6032015-03-11RePEc
article
The failure of the mortgage‐backed futures contract
5
1995
15
08
Journal of Futures Markets
585
603
http://hdl.handle.net/
Frank E. Nothaft
Vassilis Lekkas
George H. K. Wang
oai:RePEc:wly:jfutmk:v:18:y:1998:i:6:p:705-7222015-03-11RePEc
article
Hedging time‐varying downside risk
6
1998
18
09
Journal of Futures Markets
705
722
http://hdl.handle.net/
Donald Lien
Yiu Kuen Tse
oai:RePEc:wly:jfutmk:v:13:y:1993:i:1:p:93-1132015-03-11RePEc
article
Equally open and competitive: Regulatory approval of automated trade execution in the futures markets
1
1993
13
02
Journal of Futures Markets
93
113
http://hdl.handle.net/
Ian Domowitz
oai:RePEc:wly:jfutmk:v:24:y:2004:i:5:p:479-5022015-03-11RePEc
article
Do designated market makers improve liquidity in open‐outcry futures markets?
On February 1, 2002, the Chicago Board of Trade appointed a designated market maker to enhance liquidity in its 10‐year interest rate swap futures contract. This market‐making program is the first of its kind in the open‐outcry futures industry. We find that introduction of the market maker has increased volume and reduced transaction costs. The market maker has also enhanced the speed and the efficiency of price discovery. Overall, the results suggest that the market‐making program is successful in improving liquidity. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:479–502, 2004
5
2004
24
05
Journal of Futures Markets
479
502
http://hdl.handle.net/
Yiuman Tse
Tatyana Zabotina
oai:RePEc:wly:jfutmk:v:5:y:1985:i:1:p:89-1012015-03-11RePEc
article
Taxes and the pricing of stock index futures: Empirical results
1
1985
5
03
Journal of Futures Markets
89
101
http://hdl.handle.net/
Bradford Cornell
oai:RePEc:wly:jfutmk:v:29:y:2009:i:4:p:348-3762015-03-11RePEc
article
Is reversal of large stock‐price declines caused by overreaction or information asymmetry: Evidence from stock and option markets
The role of option markets is reexamined in the reversal process of stock prices following stock price declines of 10% or more. A matched pair of optionable and nonoptionable firms is randomly selected when their price declines by 10% or more on the same date. The authors examine the 1,443 and 1,018 matched pairs of New York Stock Exchange/American Stock Exchange (AMEX) and National Association of Securities Dealers Automated Quotations firms over the period from 1996 to 2004. It was found that the positive rebounds for nonoptionable firms are caused by an abnormal increase in bid–ask spread on and before the large price decline date. On the other hand, the bid–ask spreads for optionable firms decrease on and before the large price decline date. An abnormal increase in the open interest and volume in the option market on and before the large price decline date was also found. Overall, the results suggest that the stock‐price reversal neither is a result of overreaction nor can it be simply explained by the bid–ask bounce. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:348–376, 2009
4
2009
29
04
Journal of Futures Markets
348
376
http://hdl.handle.net/
Hyung‐Suk Choi
Narayanan Jayaraman
oai:RePEc:wly:jfutmk:v:29:y:2009:i:11:p:999-10202015-03-11RePEc
article
The performance of traders' rules in options market
This study focuses on the usefulness of the traders' rules to predict future implied volatilities for pricing and hedging KOSPI 200 index options. There are two versions of this approach. In the “relative smile” approach, the implied volatility skew is treated as a fixed function of moneyness. In the “absolute smile” approach, the implied volatility skew is treated as a fixed function of the strike price. It is found that the “absolute smile” approach shows better performance than Black, F. and Scholes, L. ( 1973 ) model and the stochastic volatility model for both pricing and hedging options. Consistent with Jackwerth, J. C. and Rubinstein, M. (2001) and Li, M. and Pearson, N. D. (2007), the traders' rules dominate mathematically more sophisticated model, that is, the stochastic volatility model. The traders' rules can be an alternative to the sophisticated and complicated models for pricing and hedging options. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:999–1020, 2009
11
2009
29
11
Journal of Futures Markets
999
1020
http://hdl.handle.net/
Sol Kim
oai:RePEc:wly:jfutmk:v:7:y:1987:i:5:p:571-5892015-03-11RePEc
article
The effects of USDA crop announcements on commodity prices
5
1987
7
10
Journal of Futures Markets
571
589
http://hdl.handle.net/
Nikolaos T. Milonas
oai:RePEc:wly:jfutmk:v:16:y:1996:i:6:p:697-7242015-03-11RePEc
article
The demise of the high fructose corn syrup futures contract: A case study
6
1996
16
09
Journal of Futures Markets
697
724
http://hdl.handle.net/
Sarahelen Thompson
Philip Garcia
Lynne Dallafior Wildman
oai:RePEc:wly:jfutmk:v:20:y:2000:i:2:p:189-2042015-03-11RePEc
article
The risk management effectiveness of multivariate hedging models in the U.S. soy complex
Several authors have proposed sophisticated multivariate hedging strategies which use portfolio theory and complex econometric techniques. Practical application of these techniques requires using historical data to make decisions about future hedging portfolios. This paper tests to see if there is enough stationarity in the data for these models to actually provide better hedging strategies in practice. For the soy complex the results are clear. No statistically significant improvement over naive equal and opposite hedges was found for any of the multivariate hedging models. So far, there is no known evidence that any of these methods perform reliably in practice. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:189–204, 2000
2
2000
20
02
Journal of Futures Markets
189
204
http://hdl.handle.net/
Robert A. Collins
oai:RePEc:wly:jfutmk:v:25:y:2005:i:3:p:211-2412015-03-11RePEc
article
Drift matters: An analysis of commodity derivatives
This article presents a reduced‐form, two‐factor model to price commodity derivatives, which generalizes the model by Schwartz and Smith (2000). The model allows for two mean‐reverting stochastic factors and therefore implies that spot and futures prices can be stationary. An empirical study for the crude oil market tests the new model. Out‐of‐sample pricing and hedging results for futures and forwards show that the new model dominates the nonstationary model by Schwartz and Smith in the following sense: It works equally well for short‐term contracts but leads to major improvements for long‐term contracts. This finding is particularly relevant for typical applications like the valuation of commodity‐linked real assets with long maturities. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:211–241, 2005
3
2005
25
03
Journal of Futures Markets
211
241
http://hdl.handle.net/
Olaf Korn
oai:RePEc:wly:jfutmk:v:27:y:2007:i:10:p:1003-10192015-03-11RePEc
article
The stock closing calland futures price behavior: Evidence from the Taiwan futures market
This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10‐fold, from an average of 30 seconds to 5 minutes. This change presents an opportunity to analyze how a stock closing method affects the behavior of index futures prices. Empirical results indicate that an increase in the length of the batching period affects the return volatility and trading volume of index futures contracts around stock market close. Furthermore, preclose stock returns have a great impact on extended futures returns when the batching period of the stock closing call is long. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1003–1019, 2007
10
2007
27
10
Journal of Futures Markets
1003
1019
http://hdl.handle.net/
Hsiu‐Chuan Lee
Cheng‐Yi Chien
Yen‐Sheng Huang
oai:RePEc:wly:jfutmk:v:24:y:2004:i:7:p:649-6742015-03-11RePEc
article
A Markov regime switching approach for hedging stock indices
In this paper we describe a new approach for determining time‐varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot and futures returns may be characterized by regime shifts, which, in turn, suggests that by allowing the hedge ratio to be dependent upon the “state of the market,” one may obtain more efficient hedge ratios and hence, superior hedging performance compared to other methods in the literature. The performance of the MRS hedge ratios is compared to that of alternative models such as GARCH, Error Correction and OLS in the FTSE 100 and S&P 500 markets. In and out‐of‐sample tests indicate that MRS hedge ratios outperform the other models in reducing portfolio risk in the FTSE 100 market. In the S&P 500 market the MRS model outperforms the other hedging strategies only within sample. Overall, the results indicate that by using MRS models market agents may be able to increase the performance of their hedges, measured in terms of variance reduction and increase in their utility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:649–674, 2004
7
2004
24
07
Journal of Futures Markets
649
674
http://hdl.handle.net/
Amir Alizadeh
Nikos Nomikos
oai:RePEc:wly:jfutmk:v:28:y:2008:i:1:p:1-332015-03-11RePEc
article
Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures
This article presents a comprehensive study of continuous time GARCH (generalized autoregressive conditional heteroskedastic) modeling with the thintailed normal and the fat‐tailed Student's‐t and generalized error distributions (GED). The study measures the degree of mean reversion in financial market volatility based on the relationship between discrete‐time GARCH and continuoustime diffusion models. The convergence results based on the aforementioned distribution functions are shown to have similar implications for testing mean reversion in stochastic volatility. Alternative models are compared in terms of their ability to capture mean‐reverting behavior of futures market volatility. The empirical evidence obtained from the S&P 500 index futures indicates that the conditional variance, log‐variance, and standard deviation of futures returns are pulled back to some long‐run average level over time. The study also compares the performance of alternative GARCH models with normal, Student's‐ t, and GED density in terms of their power to predict one‐day‐ahead realized volatility of index futures returns and provides some implications for pricing futures options. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1–33, 2008
1
2008
28
01
Journal of Futures Markets
1
33
http://hdl.handle.net/
Turan G. Bali
K. Ozgur Demirtas
oai:RePEc:wly:jfutmk:v:5:y:1985:i:4:p:625-6312015-03-11RePEc
article
The Foreign Currency Futures Market: Some Reflections on Competitiveness and Growth
4
1985
5
12
Journal of Futures Markets
625
631
http://hdl.handle.net/
Norman S. Fieleke
oai:RePEc:wly:jfutmk:v:19:y:1999:i:7:p:799-8152015-03-11RePEc
article
Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions
Underlying the search for arbitrage opportunities across commodity futures markets that differ in market structure is the idea that the futures prices for similar commodities that are traded on different exchanges adjusted for differences in currency, delivery time (if any), location, and market structure are equal. This article examines price linkages in competing discrete commodity futures auction markets. We find no evidence of cointegration of futures prices of similar commodities traded on two contemporaneous discrete auction futures exchanges in Asia. We also find no evidence of arbitrage activities across these two Asian exchanges, though this does not preclude arbitrage activities with North American continuous auction markets. This lack of cointegration may be due to nonstationarities in the trading cost component. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 799–815, 1999
7
1999
19
10
Journal of Futures Markets
799
815
http://hdl.handle.net/
Aaron H. W. Low
Jayaram Muthuswamy
Robert I. Webb
oai:RePEc:wly:jfutmk:v:29:y:2009:i:9:p:797-8252015-03-11RePEc
article
Is volatility risk priced in the KOSPI 200 index options market?
The negative volatility risk premium is understood as a result for a hedging demand against market declines. Although this negative volatility risk premium is observed in most index options markets, there are some doubts about its presence in the KOSPI 200 index options market. The majority of KOSPI 200 index option holders do not possess any position in the underlying market; the composition of trading groups of the KOSPI 200 index options significantly differs from that of its underlying index; in this circumstance, the presence of a hedging demand is questionable. This study shows that volatility risk does not require a premium in the KOSPI 200 index options market. Rather, jump fears influence KOSPI 200 options. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:797–825, 2009
9
2009
29
09
Journal of Futures Markets
797
825
http://hdl.handle.net/
Sun‐Joong Yoon
Suk Joon Byun
oai:RePEc:wly:jfutmk:v:13:y:1993:i:7:p:711-7422015-03-11RePEc
article
Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach
7
1993
13
10
Journal of Futures Markets
711
742
http://hdl.handle.net/
Mahmoud Wahab
Malek Lashgari
oai:RePEc:wly:jfutmk:v:25:y:2005:i:11:p:1025-10442015-03-11RePEc
article
A contango‐constrained model for storable commodity prices
This article presents a model of commodity price dynamics under the risk‐neutral measure where the spot price switches between two distinct stochastic processes depending on whether or not inventory is being held. Specifically, the drift of the spot price is equal to the cost of carry when the stock is positive. Conversely, whenever the drift of the spot price is less than the cost of carry, no inventory is being held. The properties of the spot price and the forward curves implied by this model are illustrated and analyzed with the use of numerical examples. A comparison with the single‐factor model by E. S. Schwartz (1997) is also provided. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1025–1044, 2005
11
2005
25
11
Journal of Futures Markets
1025
1044
http://hdl.handle.net/
Diana R. Ribeiro
Stewart D. Hodges
oai:RePEc:wly:jfutmk:v:4:y:1984:i:4:p:449-4642015-03-11RePEc
article
Country hedging for real income stabilization: A case study of south korea and egypt
4
1984
4
12
Journal of Futures Markets
449
464
http://hdl.handle.net/
Kathryn M. Gordon
Gordon C. Rausser
oai:RePEc:wly:jfutmk:v:27:y:2007:i:10:p:961-9792015-03-11RePEc
article
On estimating an asset's implicit beta
A.F. Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicity from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This study will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the capital asset pricing model. Empirical evidence on implicit betas is provided using prices of exchange options from the European Derivatives Exchange Market (EUREX) over years 2000 to 2004. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:961–979, 2007
10
2007
27
10
Journal of Futures Markets
961
979
http://hdl.handle.net/
Sven Husmann
Andreas Stephan
oai:RePEc:wly:jfutmk:v:14:y:1994:i:2:p:183-2132015-03-11RePEc
article
Options on futures spreads: Hedging, speculation, and valuation
2
1994
14
04
Journal of Futures Markets
183
213
http://hdl.handle.net/
David C. Shimko
oai:RePEc:wly:jfutmk:v:23:y:2003:i:2:p:109-1332015-03-11RePEc
article
Hedging long‐term commodity risk
This study focuses on the problem of hedging longer‐term commodity positions, which often arises when the maturity of actively traded futures contracts on this commodity is limited to a few months. In this case, using a rollover strategy results in a high residual risk, which is related to the uncertain futures basis. We use a one‐factor term structure model of futures convenience yields in order to construct a hedging strategy that minimizes both spot‐price risk and rollover risk by using futures of two different maturities. The model is tested using three commodity futures: crude oil, orange juice, and lumber. In the out‐of‐sample test, the residual variance of the 24‐month combined spot‐futures positions is reduced by, respectively, 77%, 47%, and 84% compared to the variance of a naïve hedging portfolio. Even after accounting for the higher trading volume necessary to maintain a two‐contract hedge portfolio, this risk reduction outweighs the extra trading costs for the investor with an average risk aversion. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:109–133, 2003
2
2003
23
02
Journal of Futures Markets
109
133
http://hdl.handle.net/
Yulia V. Veld‐Merkoulova
Frans A. de Roon
oai:RePEc:wly:jfutmk:v:25:y:2005:i:11:p:1067-10922015-03-11RePEc
article
Execution quality in open‐outcry futures markets
This study examines the composition of customer order .flow and the execution quality for different types of customer orders in six futures pits of the Chicago Mercantile Exchange (CME). It is shown that off‐exchange customers frequently provide liquidity to other traders by submitting limit orders. The determinants of customers' choice between limit and market orders are examined, and it is found that higher bid—ask spreads increase the limit‐order submission frequency, and increased price volatility makes limit‐order submission less likely. Effective spreads, trading revenues, and turnaround times for customer liquidity‐demanding and limit orders are also documented. Consistent with evidence from equity markets, the results show that limit‐order traders receive better executions than traders using liquidity‐demanding orders, but incur adverse selection costs. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1067–1092, 2005
11
2005
25
11
Journal of Futures Markets
1067
1092
http://hdl.handle.net/
Alexander Kurov
oai:RePEc:wly:jfutmk:v:30:y:2010:i:8:p:780-7942015-03-11RePEc
article
Hedging and value at risk: A semi‐parametric approach
The non‐normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum‐variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns. Thus, the reduction in Value at Risk (VaR) and Conditional Value at Risk (CVaR) that minimum‐variance hedging generates can be significantly lower than the reduction in standard deviation. In this study, we provide a new, semi‐parametric method of estimating minimum‐VaR and minimum‐CVaR hedge ratios based on the Cornish‐Fisher expansion of the quantile of the hedged portfolio return distribution. Using spot and futures returns for the FTSE 100, FTSE 250, and FTSE Small Cap equity indices, the Euro/US Dollar exchange rate, and Brent crude oil, we find that the semiparametric approach is superior to the standard minimum‐variance approach, and to the nonparametric approach of Harris and Shen (2006). In particular, it provides a greater reduction in both negative skewness and excess kurtosis, and consequently generates hedge portfolios that in most cases have lower VaR and CVaR. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:780–794, 2010
8
2010
30
08
Journal of Futures Markets
780
794
http://hdl.handle.net/
Zhiguang Cao
Richard D.F. Harris
Jian Shen
oai:RePEc:wly:jfutmk:v:3:y:1983:i:1:p:47-542015-03-11RePEc
article
Observations on the relationship between agricultural commodity prices and real interest rates
1
1983
3
03
Journal of Futures Markets
47
54
http://hdl.handle.net/
Bruce A. Scherr
Howard C. Madsen
oai:RePEc:wly:jfutmk:v:17:y:1997:i:7:p:733-7562015-03-11RePEc
article
Program trading, nonprogram trading, and market volatility
7
1997
17
10
Journal of Futures Markets
733
756
http://hdl.handle.net/
Kedreth C. Hogan Jr.
Kenneth F. Kroner
Jahangir Sultan
oai:RePEc:wly:jfutmk:v:13:y:1993:i:2:p:193-1982015-03-11RePEc
article
Cointegration and error correction models: Intertemporal causality between index and futures prices
2
1993
13
04
Journal of Futures Markets
193
198
http://hdl.handle.net/
Asim Ghosh
oai:RePEc:wly:jfutmk:v:30:y:2010:i:7:p:689-7032015-03-11RePEc
article
Estimating financial risk measures for futures positions: A nonparametric approach
This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value‐at‐Risk and Expected Shortfall. The SRMs are conditioned on the coefficient of absolute risk aversion, and the latter two are conditioned on the confidence level. Our findings indicate that all risk measures increase dramatically and their estimators deteriorate in precision when their respective conditioning parameter increases. Results also suggest that estimates of SRMs and their precision levels are of comparable orders of magnitude as those of more conventional risk measures. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:689–703, 2010
7
2010
30
07
Journal of Futures Markets
689
703
http://hdl.handle.net/
John Cotter
Kevin Dowd
oai:RePEc:wly:jfutmk:v:26:y:2006:i:2:p:169-1882015-03-11RePEc
article
Jumping hedges: An examination of movements in copper spot and futures markets
Price risk is an important factor for both copper purchasers, who use the commodity as a major input in their production process, and copper refiners, who must deal with cash‐flow volatility. Information from NYMEX cash and futures prices is used to examine optimal hedging behavior for agents in copper markets. A bivariate GARCH‐jump model with autoregressive jump intensity is proposed to capture the features of the joint distribution of cash and futures returns over two subperiods with different dominant pricing regimes. It is found that during the earlier producerpricing regime this specification is not needed, whereas for the later exchange pricing era jump dynamics stemming from a common jump across cash and futures series are significant in explaining the dynamics in both daily and weekly data sets. Results from the model are used to under‐take both within‐sample and out‐of‐sample hedging exercises. These results indicate that there are important gains to be made from a time‐varying optimal hedging strategy that incorporates the information from the common jump dynamics. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:169–188, 2006
2
2006
26
02
Journal of Futures Markets
169
188
http://hdl.handle.net/
Wing H. Chan
Denise Young
oai:RePEc:wly:jfutmk:v:23:y:2003:i:6:p:535-5602015-03-11RePEc
article
Pricing continuously sampled Asian options with perturbation method
This article explores the price of continuously sampled Asian options. For geometric Asian options, we present pricing formulas for both backward‐starting and forward‐starting cases. For arithmetic Asian options, we demonstrate that the governing partial differential equation (PDE) cannot be transformed into a heat equation with constant coefficients; therefore, these options do not have a closed‐form solution of the Black–Scholes type, that is, the solution is not given in terms of the cumulative normal distribution function. We then solve the PDE with a perturbation method and obtain an analytical solution in a series form. Numerical results show that as compared with Zhang's ( 2001 ) highly accurate numerical results, the series converges very quickly and gives a good approximate value that is more accurate than any other approximate method in the literature, at least for the options tested in this article. Graphical results determine that the solution converges globally very quickly especially near the origin, which is the area in which most of the traded Asian options fall. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:535–560, 2003
6
2003
23
06
Journal of Futures Markets
535
560
http://hdl.handle.net/
Jin E. Zhang
oai:RePEc:wly:jfutmk:v:9:y:1989:i:2:p:175-1772015-03-11RePEc
article
The daily effect in the gold market: A reply
2
1989
9
04
Journal of Futures Markets
175
177
http://hdl.handle.net/
Christopher K. Ma
G. Wenchi Wong
Edwin D. Maberly
oai:RePEc:wly:jfutmk:v:17:y:1997:i:7:p:781-7962015-03-11RePEc
article
Using derivatives in major currencies for cross‐hedging currency risks in Asian emergency markets
7
1997
17
10
Journal of Futures Markets
781
796
http://hdl.handle.net/
Raj Aggarwal
Andrea L. Demaskey
oai:RePEc:wly:jfutmk:v:25:y:2005:i:9:p:845-8712015-03-11RePEc
article
Option pricing under extended normal distribution
This article proposes a closed pricing formula for European options when the return of the underlying asset follows extended normal distribution, that is, any different degrees of skewness and kurtosis relative to the normal distribution induced by the Black‐Scholes model. The moment restriction is suggested, so that the pricing model under any arbitrary distribution for an underlying asset must satisfy the arbitrage‐free condition. Numerical experiments and comparison of empirical performance of the proposed model with the Black‐Scholes, ad hoc Black‐Scholes, and Gram‐Charlier distribution models are carried out. In particular, an estimation of implied parameters such as standard deviation, skewness, and kurtosis of the return on the underlying asset from the market prices of the KOSPI 200 index options is made, and in‐sample and out‐of‐sample tests are performed. These results not only support the previous finding that the actual density of the underlying asset shows skewness to the left and high peaks, but also demonstrate that the present model has good explanatory power for option prices. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:845–871, 2005
9
2005
25
09
Journal of Futures Markets
845
871
http://hdl.handle.net/
Hosam Ki
Byungwook Choi
Kook‐Hyun Chang
Miyoung Lee
oai:RePEc:wly:jfutmk:v:6:y:1986:i:3:p:433-4422015-03-11RePEc
article
Arbitrage opportunities with T‐bill/T‐bond futures combinations
3
1986
6
09
Journal of Futures Markets
433
442
http://hdl.handle.net/
John C. Easterwood
A. J. Senchack Jr.
oai:RePEc:wly:jfutmk:v:31:y:2011:i:7:p:629-6582015-03-11RePEc
article
Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998
Using a unique data set of detailed balance sheet information on mutual funds, we find that most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns. However, there exist two types of funds that make more extensive use of derivatives, global funds and specialized domestic equity funds. The risk and return characteristics of these two groups of funds are significantly different from funds employing derivatives sparingly or not at all. Fund managers time their use of derivatives in response to past returns. Evidence during the financial crisis of August 1998 supports the hypothesis that the effects of derivative use are most pronounced during the periods of extreme movement. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:629–658, 2011
7
2011
31
07
Journal of Futures Markets
629
658
http://hdl.handle.net/
Charles Cao
Eric Ghysels
Frank Hatheway
oai:RePEc:wly:jfutmk:v:1:y:1981:i:1:p:33-572015-03-11RePEc
article
The integration of the cash and futures markets for treasury securities
1
1981
1
03
Journal of Futures Markets
33
57
http://hdl.handle.net/
Frank J. Jones
oai:RePEc:wly:jfutmk:v:24:y:2004:i:12:p:1195-12282015-03-11RePEc
article
Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets
We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sample approach for the market data during the period of January 1990–December 1998, we find that the introduction of KOSPI 200 index futures trading is associated with greater market efficiency but, at the same time, greater spot price volatility in the underlying stock market. We also find that KOSPI 200 stocks experience lower spot price volatility and higher trading efficiency than non‐KOSPI 200 stocks after the introduction of futures trading. The trading efficiency gap between the two groups of stocks, however, declines over time and vanishes following the addition of options trading. Overall, our results suggest that while futures trading in Korea increases spot price volatility and market efficiency, there exists volatility spillover to stocks against which futures are not traded. We provide several factors unique in the Korean markets including circuit breakers, sidercar system, restrictions on foreign ownership, and inactive program trading as potential factors to explain some of our puzzling evidence. We further consider the potential effect of changes in daily price limits utilized by the Korea Stock Exchange during the testing period on our empirical findings. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1195–1228, 2004
12
2004
24
12
Journal of Futures Markets
1195
1228
http://hdl.handle.net/
Sung C. Bae
Taek Ho Kwon
Jong Won Park
oai:RePEc:wly:jfutmk:v:28:y:2008:i:5:p:464-4872015-03-11RePEc
article
Pricing and hedging illiquid energy derivatives: An application to the JCC index
In this paper a simple strategy for pricing and hedging a swap on the Japanese crude oil cocktail (JCC) index is discussed. The empirical performance of different econometric models is compared in terms of their computed optimal hedge ratios, using monthly data on the JCC over the period January 2000–January 2006. An explanation to how to compute a bid/ask spread and to construct the hedging position for the JCC swap contract with variable oil volume is provided. The swap pricing scheme with backtesting and rolling regression techniques is evaluated. The empirical findings show that the price‐level regression model permits one to compute more precise optimal hedge ratios relative to its competing alternatives. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:464–487, 2008
5
2008
28
05
Journal of Futures Markets
464
487
http://hdl.handle.net/
Elisa Scarpa
Matteo Manera
oai:RePEc:wly:jfutmk:v:4:y:1984:i:1:p:39-462015-03-11RePEc
article
Spread volatility in commodity futures: The length effect
1
1984
4
03
Journal of Futures Markets
39
46
http://hdl.handle.net/
Mark G. Castelino
Ashok Vora
oai:RePEc:wly:jfutmk:v:1:y:1981:i:4:p:597-6062015-03-11RePEc
article
Hedging money market CDs with treasury‐bill futures
4
1981
1
12
Journal of Futures Markets
597
606
http://hdl.handle.net/
Jack W. Parker
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:13:y:1993:i:7:p:781-7972015-03-11RePEc
article
An empirical examination of interest‐rate futures prices
7
1993
13
10
Journal of Futures Markets
781
797
http://hdl.handle.net/
Andrew H. Chen
Marcia Millon Cornett
Prafulla G. Nabar
oai:RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1147-11672015-03-11RePEc
article
Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange
This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at the three best bid and ask prices is examined. Evidence was found consistent with a change in trading behavior coinciding with the increase in pre‐trade transparency. Consistent with predictions of a theoretical model based on execution risk, a statistically significant decline in depth was found at the best quotes. There is little evidence of an increase in bid‐ask spreads. Further, the proportion of market orders exceeding depth at the best quotes increases in a transparent limit order book, reflecting a reduction in execution risk. The study concludes that in a transparent market, limit order traders charge market order traders a higher premium for execution certainty by withdrawing depth from the best quotes, but not by increasing bid‐ask spreads. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1147–1167, 2006
12
2006
26
12
Journal of Futures Markets
1147
1167
http://hdl.handle.net/
Luke Bortoli
Alex Frino
Elvis Jarnecic
David Johnstone
oai:RePEc:wly:jfutmk:v:10:y:1990:i:5:p:535-5402015-03-11RePEc
article
Corporate taxes and hedging with futures
5
1990
10
10
Journal of Futures Markets
535
540
http://hdl.handle.net/
T. Hanan Eytan
oai:RePEc:wly:jfutmk:v:28:y:2008:i:1:p:57-812015-03-11RePEc
article
Smiling less at LIFFE
This study investigates the structure of the implied volatility smile, using the prices of equity options traded on the LIFFE. First, the slope of the implied volatility curve is significantly negative for both individual stocks and index options, and the slope is less negative for longer‐term options. The implied volatility skew can be described by risk‐neutral skewness and kurtosis, with the former having the first‐order effect. Moreover, the implied volatility skew for individual stock options is less severe than for index options. Finally, the relationship between the real and risk‐neutral moments implied in option prices is significant. The results indicate that, for equity options traded on the LIFFE, the slope of the implied volatility skew is flatter than that on the Chicago Board of Exchange (CBOE). © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:57–81, 2008
1
2008
28
01
Journal of Futures Markets
57
81
http://hdl.handle.net/
Bing‐Huei Lin
Ing‐Jye Chang
Dean A. Paxson
oai:RePEc:wly:jfutmk:v:6:y:1986:i:3:p:505-5062015-03-11RePEc
article
Stable distributions, futures prices, and the measurement of trading performance: A comment
3
1986
6
09
Journal of Futures Markets
505
506
http://hdl.handle.net/
John Doukas
Abdul Rahman
oai:RePEc:wly:jfutmk:v:12:y:1992:i:6:p:705-7282015-03-11RePEc
article
Variability in soybean futures prices: An integrated framework
6
1992
12
12
Journal of Futures Markets
705
728
http://hdl.handle.net/
Deborah H. Streeter
William G. Tomek
oai:RePEc:wly:jfutmk:v:15:y:1995:i:4:p:373-3942015-03-11RePEc
article
Implications of trader mix to price discovery and market effectiveness in live cattle futures
4
1995
15
06
Journal of Futures Markets
373
394
http://hdl.handle.net/
Won‐Cheol Yun
Wayne Purcell
Anya McGuirk
David Kenyon
oai:RePEc:wly:jfutmk:v:31:y:2011:i:2:p:192-2032015-03-11RePEc
article
Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
Based on the cost‐of‐carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies (see, e.g., Dwyer GP, Locke, P, & Yu, W, 1996 ; Monoyios M and Sarno L, 2002 ; Taylor N, van Dijk D, Franses PH, & Lucas A, 2000 ). The structure of the models and the speed of adjustment to shocks reported are radically different. In this paper we examine the implications of systematic sampling. The results obtained show that regular sampling of the process seems important in attempting to explain the apparently contradictory results reported on the speed of adjustment to shocks in the cost‐of‐carry model. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:192–203, 2011
2
2011
31
02
Journal of Futures Markets
192
203
http://hdl.handle.net/
Ivan Paya
David A. Peel
oai:RePEc:wly:jfutmk:v:27:y:2007:i:7:p:669-6952015-03-11RePEc
article
The pricing of foreign currency options under jump‐diffusion processes
In this article, the authors derive explicit formulas for European foreign exchange (FX) call and put option values when the exchange rate dynamics are governed by jump‐diffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous trading and frictionless international capital markets. The domestic and foreign price level are introduced as state variables that contain jumps caused by monetary shocks and catastrophic events such as 9/11 or Hurricane Katrina. The domestic and foreign interest rates are stochastic and endogenously determined in the model and are shown to be critically affected by the jump risk of the foreign exchange. The model shows that the behavior of FX options is affected through the impact of state variables and parameters on the nominal interest rates. The model contrasts with those of M. Garman and S. Kohlhagen (1983) and O. Grabbe (1983), whose models have exogenously determined interest rates. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:669–695, 2007
7
2007
27
07
Journal of Futures Markets
669
695
http://hdl.handle.net/
Chang Mo Ahn
D. Chinhyung Cho
Keehwan Park
oai:RePEc:wly:jfutmk:v:13:y:1993:i:6:p:665-6762015-03-11RePEc
article
Estimating the extended mean‐gini coefficient for futures hedging
6
1993
13
09
Journal of Futures Markets
665
676
http://hdl.handle.net/
Donald Lien
Xiangdong Luo
oai:RePEc:wly:jfutmk:v:18:y:1998:i:6:p:723-7422015-03-11RePEc
article
Design, pricing, and returns of short‐term hog marketing window contracts
6
1998
18
09
Journal of Futures Markets
723
742
http://hdl.handle.net/
James Unterschultz
Frank Novak
Donald Bresee
Stephen Koontz
oai:RePEc:wly:jfutmk:v:25:y:2005:i:6:p:587-6062015-03-11RePEc
article
An empirical analysis of multi‐period hedges: Applications to commercial and investment assets
This study measures the performance of stacked hedge techniques with applications to investment assets and to commercial commodities. The naive stacked hedge is evaluated along with three other versions of the stacked hedge, including those which use exponential and minimum variance ratios. Three commercial commodities (heating oil, light crude oil, and unleaded gasoline) and three investment assets (British Pounds, Deutsche Marks, and Swiss Francs) are examined. The evidence suggests that stacked hedges perform better with investment assets than with commercial commodities. Specifically, deviations from the cost‐of‐carry model result in nontrivial hedge errors in the stacked hedge. Exponential and minimum variance hedge ratios were found to marginally improve the hedging performance of the stack. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:587–606, 2005
6
2005
25
06
Journal of Futures Markets
587
606
http://hdl.handle.net/
Jimmy E. Hilliard
Pinghsun Huang
oai:RePEc:wly:jfutmk:v:7:y:1987:i:5:p:591-5952015-03-11RePEc
article
A note on the factors affecting technical trading system returns
5
1987
7
10
Journal of Futures Markets
591
595
http://hdl.handle.net/
Scott H. Irwin
B. Wade Brorsen
oai:RePEc:wly:jfutmk:v:8:y:1988:i:4:p:441-4552015-03-11RePEc
article
Portfolio insurance with stock index futures
4
1988
8
08
Journal of Futures Markets
441
455
http://hdl.handle.net/
John J. Merrick Jr.
oai:RePEc:wly:jfutmk:v:20:y:2000:i:4:p:375-3962015-03-11RePEc
article
Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints
Empirical research using optimal hedge ratios usually suggests that producers should hedge much more than they do. In this study, a new theoretical model of hedging is derived. Optimal hedge and leverage ratios and their relationship with yield risk, price variability, basis risk, taxes, and financial risk are determined using alternative assumptions. The motivation to hedge is provided by progressive tax rates and cost of bankruptcy. An empirical example for a wheat and stocker‐steer producer is provided. Results show that there are many factors, often assumed away in the literature, that make farmers hedge little or not at all. Progressive tax rates provide an incentive for farmers to hedge in order to reduce their tax liabilities and increase their after‐tax income. Farmers will hedge when the cost of hedging is less than the benefits of hedging that come from reducing tax liabilities, liquidity costs, or bankruptcy costs. When tax‐loss carryback is allowed, hedging decreases as the amount of tax loss that can be carried back increases. Higher profitability makes benefits from futures trading negligible and hedging unattractive, since farmers move to higher income brackets with near constant marginal tax rates. Increasing basis risk or yield risk also reduce the incentive to hedge. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 375–396, 2000
4
2000
20
04
Journal of Futures Markets
375
396
http://hdl.handle.net/
Joaquín Arias
B. Wade Brorsen
Ardian Harri
oai:RePEc:wly:jfutmk:v:14:y:1994:i:5:p:511-5292015-03-11RePEc
article
A time series test of calendar seasonalities in the S&P 500 index since the introduction of index derivative securities
5
1994
14
08
Journal of Futures Markets
511
529
http://hdl.handle.net/
Don Cyr
Tanya Llewellyn
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:909-9202015-03-11RePEc
article
Estimating multiperiod hedge ratios in cointegrated markets
8
1993
13
12
Journal of Futures Markets
909
920
http://hdl.handle.net/
Donald Lien
Xiangdong Luo
oai:RePEc:wly:jfutmk:v:29:y:2009:i:5:p:451-4772015-03-11RePEc
article
Analyst forecasts and price discovery in futures markets: The case of natural gas storage
We investigate analyst forecasts in a unique setting, the natural gas storage market, and study the contribution of analysts in facilitating price discovery in futures markets. Using a high‐frequency database of analyst storage forecasts, we show that the market appears to condition expectations regarding a weekly storage release on the analyst forecasts and beyond that of various statistical‐based models. Further, we find that the market looks through the reported consensus analyst forecast and places differential emphasis on the individual forecasts of analysts according to their prior accuracy. Also, the market appears to place greater emphasis on analysts' long‐term accuracy than on their recent accuracy. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:451–477, 2009
5
2009
29
05
Journal of Futures Markets
451
477
http://hdl.handle.net/
Gerald D. Gay
Betty J. Simkins
Marian Turac
oai:RePEc:wly:jfutmk:v:22:y:2002:i:11:p:1103-11152015-03-11RePEc
article
A note on the valuation of compound options
The value of a compound option, an option on an option, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerful tool for valuing contingent claims. The second proof uses the expectation of a truncated bivariate normal variable. These proofs allow for an intuitive interpretation of the three elements constituting the value of a compound option. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1103–1115, 2002
11
2002
22
11
Journal of Futures Markets
1103
1115
http://hdl.handle.net/
Fatma Lajeri‐Chaherli
oai:RePEc:wly:jfutmk:v:7:y:1987:i:1:p:65-722015-03-11RePEc
article
Application of a simplified hedging rule
1
1987
7
02
Journal of Futures Markets
65
72
http://hdl.handle.net/
Gary E. Bond
Stanley R. Thompson
Benny M. S. Lee
oai:RePEc:wly:jfutmk:v:9:y:1989:i:4:p:297-3052015-03-11RePEc
article
Evidence on the effect of information and noise trading on intraday gold futures returns
4
1989
9
08
Journal of Futures Markets
297
305
http://hdl.handle.net/
Beni Lauterbach
Margaret Monroe
oai:RePEc:wly:jfutmk:v:31:y:2011:i:9:p:855-8972015-03-11RePEc
article
Optimal partial hedging of options with small transaction costs
This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedged using an imperfectly correlated hedging asset with small fixed and/or proportional transaction costs, obtaining explicit formulae in special cases. This is of use when it is impractical to hedge using the underlying asset itself. The hedging strategy holds a position in the hedging asset whose value lies between two bounds, which are independent of the hedging asset's current value. For low absolute correlation between hedging and hedged assets, highly risk‐averse investors and large portfolios, hedging strategies and option values differ significantly from their perfect market equivalents. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 31:855–897, 2011
9
2011
31
09
Journal of Futures Markets
855
897
http://hdl.handle.net/
A. Elizabeth Whalley
oai:RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1182-12052015-03-11RePEc
article
The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS
This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) Exchange‐Traded Fund (ETF) as “underlying cash assets.” Potential limits to arbitrage when using the cash index are the staleness of the underlying cash index, trading costs, liquidity (volume) issues of the underlying assets, the existence of sufficient time to execute profitable arbitrage transactions, short sale restrictions, and the extent to which volatility affects mispricing. Alternatively, using the SPDR ETF as the underlying asset mitigates staleness and trading cost problems as well as the effects of volatility associated with the staleness of the cash index. Minute‐by‐minute prices are compared over different volatility levels to determine how these factors affect the limits of S&P 500 futures arbitrage. Employing the SPDR as the cash asset examines whether a liquid tradable single asset with low trading costs can be used for pricing and arbitrage purposes. The analysis examines how long mispricing lasts, the impact of volatility on mispricing, and whether sufficient volume exists to implement arbitrage. The minute‐by‐minute liquidity of the futures market is examined using a new transaction volume futures database. The results show that mispricings exist regardless of the choice of the underlying cash asset, with more negative mispricings for the SPDR relative to the S&P 500 cash index. Furthermore, mispricings are more frequent in high‐ and mid‐volatility months than in low‐volatility months and are associated with higher volume during high‐volatility months. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1182–1205, 2008
12
2008
28
12
Journal of Futures Markets
1182
1205
http://hdl.handle.net/
Nivine Richie
Robert T. Daigler
Kimberly C. Gleason
oai:RePEc:wly:jfutmk:v:19:y:1999:i:4:p:457-4742015-03-11RePEc
article
Fractional cointegration and futures hedging
This article examines the performance of various hedge ratios estimated from different econometric models: The FIEC model is introduced as a new model for estimating the hedge ratio. Utilized in this study are NSA futures data, along with the ARFIMA‐GARCH approach, the EC model, and the VAR model. Our analysis identifies the prevalence of a fractional cointegration relationship. The effects of incorporating such a relationship into futures hedging are investigated, as is the relative performance of various models with respect to different hedge horizons. Findings include: (i) Incorporation of conditional heteroskedasticity improves hedging performance; (ii) the hedge ratio of the EC model is consistently larger than that of the FIEC model, with the EC providing better post‐sample hedging performance in the return–risk context; (iii) the EC hedging strategy (for longer hedge horizons of ten days or more) incorporating conditional heteroskedasticty is the dominant strategy; (iv) incorporating the fractional cointegration relationship does not improve the hedging performance over the EC model; (v) the conventional regression method provides the worst hedging outcomes for hedge horizons of five days or more. Whether these results (based on the NSA index) can be generalized to other cases is proposed as a topic for further research. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 457–474, 1999
4
1999
19
06
Journal of Futures Markets
457
474
http://hdl.handle.net/
Donald Lien
Yiu Kuen Tse
oai:RePEc:wly:jfutmk:v:13:y:1993:i:2:p:175-1912015-03-11RePEc
article
Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?
2
1993
13
04
Journal of Futures Markets
175
191
http://hdl.handle.net/
Seung‐Ryong Yang
B. Wade Brorsen
oai:RePEc:wly:jfutmk:v:12:y:1992:i:3:p:361-3632015-03-11RePEc
article
Limit moves and price resolution: A reply
3
1992
12
06
Journal of Futures Markets
361
363
http://hdl.handle.net/
Christopher K. Ma
Ramesh P. Rao
R. Stephen Sears
oai:RePEc:wly:jfutmk:v:18:y:1998:i:6:p:629-6702015-03-11RePEc
article
Stochastic dominance arguments and the bounding of the generalized concave option price
6
1998
18
09
Journal of Futures Markets
629
670
http://hdl.handle.net/
Claude Henin
Nathalie Pistre
oai:RePEc:wly:jfutmk:v:35:y:2015:i:4:p:385-3982015-03-11RePEc
article
Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps
The lattice approximation to a continuous time process is an especially useful way to value American and real options. We choose lattice probabilities by extending density matching for diffusions to density matching for jump diffusions. Technically, this requires that diffusion and jump components be cast as independent state variables. In this setup, the diffusion probabilities are locally normal and the jump probabilities are locally a mixture of distributions. The lattice is structurally uniform and density matching ensures that all probabilities are legitimate without requiring jumps to non‐adjacent nodes. The approach generalizes easily to several state variables, does not require node adjustments, and does not appear to be dominated by more specialized numerical algorithms. We demonstrate the model for scenarios where the option may depend on a jump diffusion with possible stochastic interest rates and convenience yields. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:385–398, 2015
4
2015
35
04
Journal of Futures Markets
385
398
http://hdl.handle.net/
Jimmy E. Hilliard
Jitka Hilliard
oai:RePEc:wly:jfutmk:v:16:y:1996:i:5:p:519-5432015-03-11RePEc
article
Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts
5
1996
16
08
Journal of Futures Markets
519
543
http://hdl.handle.net/
Craig Pirrong
oai:RePEc:wly:jfutmk:v:18:y:1998:i:2:p:167-1752015-03-11RePEc
article
Valuation of a European futures option in the BIFFEX market
2
1998
18
04
Journal of Futures Markets
167
175
http://hdl.handle.net/
Jostein Tvedt
oai:RePEc:wly:jfutmk:v:4:y:1984:i:4:p:579-5832015-03-11RePEc
article
Trading bond spreads in the delivery month
4
1984
4
12
Journal of Futures Markets
579
583
http://hdl.handle.net/
Jay R. Feuerstein
oai:RePEc:wly:jfutmk:v:5:y:1985:i:3:p:317-3302015-03-11RePEc
article
Variable‐rate loan commitments, deposit withdrawal risk, and anticipatory hedging
3
1985
5
09
Journal of Futures Markets
317
330
http://hdl.handle.net/
G. D. Koppenhaver
oai:RePEc:wly:jfutmk:v:28:y:2008:i:8:p:763-7892015-03-11RePEc
article
Do tax‐exempt yields adjust slowly to substantial changes in taxable yields?
This paper examines the profitability of two futures trading strategies: a municipal bond futures contract strategy and a spread strategy consisting of a municipal bond futures contract and a Treasury bond futures contract. Both strategies are designed to exploit a slow municipal yield adjustment following changes in Treasury yields. We find economically significant profits to both strategies. Average holding period returns per trade for both strategies tend to increase with the magnitude of the Treasury yield change. Profit distributions associated with various Treasury yield change thresholds tend to be positively skewed, and median profits are significantly lower than average profits. The profitability results are consistent with slow municipal yield adjustments. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:763–789, 2008
8
2008
28
08
Journal of Futures Markets
763
789
http://hdl.handle.net/
Donna Dudney
John Geppert
oai:RePEc:wly:jfutmk:v:25:y:2005:i:3:p:281-3082015-03-11RePEc
article
Bias and backwardation in natural gas futures prices
This paper tests the fair‐game efficient‐markets hypothesis for the natural gas futures prices over the period 1990 through 2003. We find evidence consistent with the Keynesian notion of normal backwardation. Regressing the future spot prices on the lagged futures prices and using the Stock‐Watson (1993) procedure to correct for the correlation between the error terms and the futures prices, we find that natural gas futures are biased predictors of the corresponding future spot prices for contracts ranging from 3 to 12 months. These results cast a serious doubt on the commonly held view that natural gas futures sell at a premium over the expected future spot prices, and that this bias is due to the systematic risk of the futures price movements represented by a negative “beta.” We also find evidence for the Samuelson effect. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:281–308, 2005
3
2005
25
03
Journal of Futures Markets
281
308
http://hdl.handle.net/
Nahid Movassagh
Bagher Modjtahedi
oai:RePEc:wly:jfutmk:v:4:y:1984:i:4:p:569-5772015-03-11RePEc
article
Treasury bond futures delivery bias
4
1984
4
12
Journal of Futures Markets
569
577
http://hdl.handle.net/
James F. Meisner
John W. Labuszewski
oai:RePEc:wly:jfutmk:v:11:y:1991:i:5:p:591-6012015-03-11RePEc
article
Do treasury bill futures rates satisfy rational expectation properties?
5
1991
11
10
Journal of Futures Markets
591
601
http://hdl.handle.net/
C. Steven Cole
Michael Impson
William Reichenstein
oai:RePEc:wly:jfutmk:v:11:y:1991:i:2:p:213-2372015-03-11RePEc
article
Margin requirements and the demand for futures contracts
2
1991
11
04
Journal of Futures Markets
213
237
http://hdl.handle.net/
L. Kalavathi
Latha Shanker
oai:RePEc:wly:jfutmk:v:30:y:2010:i:11:p:1100-11042015-03-11RePEc
article
A note on the relationship between the variability of the hedge ratio and hedging performance
This note provides an analysis to examine the conjecture about the monotonic relationship between hedge ratio variability and hedging performance. Specific conditions are characterized to sustain the conjecture. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
11
2010
30
11
Journal of Futures Markets
1100
1104
http://hdl.handle.net/
Donald Lien
oai:RePEc:wly:jfutmk:v:9:y:1989:i:3:p:271-2722015-03-11RePEc
article
The relationship between stock indices and stock index futures from 3:00–3:15: A note
3
1989
9
06
Journal of Futures Markets
271
272
http://hdl.handle.net/
Edwin D. Maberly
oai:RePEc:wly:jfutmk:v:9:y:1989:i:5:p:461-4672015-03-11RePEc
article
Exchange memberships: An overview of the issues pertaining to the property rights of a bankrupt member and his creditors
5
1989
9
10
Journal of Futures Markets
461
467
http://hdl.handle.net/
James J. Moylan
Laren A. Ukman
Peter S. Lake
oai:RePEc:wly:jfutmk:v:9:y:1989:i:4:p:283-2952015-03-11RePEc
article
The market for japanese stock index futures: Some preliminary evidence
4
1989
9
08
Journal of Futures Markets
283
295
http://hdl.handle.net/
Warren Bailey
oai:RePEc:wly:jfutmk:v:10:y:1990:i:1:p:79-882015-03-11RePEc
article
U.S. futures exchanges as nonprofit entities
1
1990
10
02
Journal of Futures Markets
79
88
http://hdl.handle.net/
Scott Chambers
Colin Carter
oai:RePEc:wly:jfutmk:v:16:y:1996:i:4:p:459-4742015-03-11RePEc
article
Derivatives usage and interest rate risk of large banking firms
4
1996
16
06
Journal of Futures Markets
459
474
http://hdl.handle.net/
Latha Shanker
oai:RePEc:wly:jfutmk:v:21:y:2001:i:12:p:1151-11792015-03-11RePEc
article
Optimal No‐Arbitrage Bounds on S&P 500 Index Options and the Volatility Smile
This article shows that the volatility smile is not necessarily inconsistent with the Black–Scholes analysis. Specifically, when transaction costs are present, the absence of arbitrage opportunities does not dictate that there exists a unique price for an option. Rather, there exists a range of prices within which the option's price may fall and still be consistent with the Black–Scholes arbitrage pricing argument. This article uses a linear program (LP) cast in a binomial framework to determine the smallest possible range of prices for Standard & Poor's 500 Index options that are consistent with no arbitrage in the presence of transaction costs. The LP method employs dynamic trading in the underlying and risk‐free assets as well as fixed positions in other options that trade on the same underlying security. One‐way transaction‐cost levels on the index, inclusive of the bid–ask spread, would have to be below six basis points for deviations from Black–Scholes pricing to present an arbitrage opportunity. Monte Carlo simulations are employed to assess the hedging error induced with a 12‐period binomial model to approximate a continuous‐time geometric Brownian motion. Once the risk caused by the hedging error is accounted for, transaction costs have to be well below three basis points for the arbitrage opportunity to be profitable two times out of five. This analysis indicates that market prices that deviate from those given by a constant‐volatility option model, such as the Black–Scholes model, can be consistent with the absence of arbitrage in the presence of transaction costs. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1151–1179, 2001
12
2001
21
12
Journal of Futures Markets
1151
1179
http://hdl.handle.net/
Patrick J. Dennis
oai:RePEc:wly:jfutmk:v:12:y:1992:i:4:p:411-4282015-03-11RePEc
article
A multiperiod model for the selection of a futures portfolio
4
1992
12
08
Journal of Futures Markets
411
428
http://hdl.handle.net/
John F. Marshall
Anthony F. Herbst
oai:RePEc:wly:jfutmk:v:29:y:2009:i:7:p:653-6832015-03-11RePEc
article
International evidence on alternative models of the term structure of volatilities
The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at‐the‐money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both in level and shape. Two new functional forms of the instantaneous volatility of forward rates are proposed and tested within the LIBOR Market Model framework. Two other alternatives are calibrated and used as benchmarks to test the accuracy of the new models. The two new models provide more flexibility to adequately calibrate the observed cap prices, although this improved accuracy in replicating cap prices produces some instability in parameter estimates. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:653–683, 2009
7
2009
29
07
Journal of Futures Markets
653
683
http://hdl.handle.net/
Antonio Díaz
Vicente Meneu
Eliseo Navarro
oai:RePEc:wly:jfutmk:v:16:y:1996:i:8:p:881-8972015-03-11RePEc
article
Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons
8
1996
16
12
Journal of Futures Markets
881
897
http://hdl.handle.net/
Gordon Gemmill
oai:RePEc:wly:jfutmk:v:1:y:1981:i:3:p:413-4142015-03-11RePEc
article
Commodity Futures Markets and the Law of One Price, by Arvind K. Jain, Michigan International Business Studies, No. 16, Division of Research, Graduate School of Business Administration, University of Michigan, Ann Arbor, 1980
3
1981
1
09
Journal of Futures Markets
413
414
http://hdl.handle.net/
P. J. Kaufman
oai:RePEc:wly:jfutmk:v:19:y:1999:i:4:p:475-4982015-03-11RePEc
article
Trading costs and price discovery across stock index futures and cash markets
The focus of this article is to test the trading cost hypothesis of price leadership, which predicts that the market with the lowest overall trading costs will react most quickly to new information. In an attempt to hold market microstructure effects constant and in contrast to previous studies, we examine intraday price leadership across the S&P 500, NYSE Composite, and MMI futures, and across the respective cash indexes—rather than between each futures and its associated cash index. We find that, among the futures, the S&P 500 exhibits price leadership over the other index futures, whereas among the cash indexes the MMI leads. Both findings are consistent with the trading cost hypothesis. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 475–498, 1999
4
1999
19
06
Journal of Futures Markets
475
498
http://hdl.handle.net/
Minho Kim
Andrew C. Szakmary
Thomas V. Schwarz
oai:RePEc:wly:jfutmk:v:34:y:2014:i:3:p:220-2342015-03-11RePEc
article
Recursive Formula for Arithmetic Asian Option Prices
I derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk‐neutral expectation of the quadratic variation of the return process and European option prices. The computation of arithmetic Asian option prices is straightforward whenever European option prices are available. Applications with numerical results under the Black–Scholes framework and the exponential Lévy model are proposed. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:220–234, 2014
3
2014
34
03
Journal of Futures Markets
220
234
http://hdl.handle.net/
Kyungsub Lee
oai:RePEc:wly:jfutmk:v:26:y:2006:i:1:p:85-1022015-03-11RePEc
article
The valuation of European options when asset returns are autocorrelated
This article derives the closed‐form formula for a European option on an asset with returns following a continuous‐time type of first‐order moving average process, which is called an MA(1)‐type option. The pricing formula of these options is similar to that of Black and Scholes, except for the total volatility input. Specifically, the total volatility input of MA(1)‐type options is the conditional standard deviation of continuous‐compounded returns over the option's remaining life, whereas the total volatility input of Black and Scholes is indeed the diffusion coefficient of a geometric Brownian motion times the square root of an option's time to maturity. Based on the result of numerical analyses, the impact of autocorrelation induced by the MA(1)‐type process is significant to option values even when the autocorrelation between asset returns is weak. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:85–102, 2006
1
2006
26
01
Journal of Futures Markets
85
102
http://hdl.handle.net/
Szu‐Lang Liao
Chao‐Chun Chen
oai:RePEc:wly:jfutmk:v:9:y:1989:i:1:p:15-272015-03-11RePEc
article
Complex hedges: How well do they work?
1
1989
9
02
Journal of Futures Markets
15
27
http://hdl.handle.net/
Dwight Grant
Mark Eaker
oai:RePEc:wly:jfutmk:v:30:y:2010:i:8:p:801-8072015-03-11RePEc
article
Optimal hedge ratios in the presence of common jumps
This study derives optimal hedge ratios with infrequent extreme news events modeled as common jumps in foreign currency spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component is proposed to manage currency risk. We find significant common jump components in the British pound spot and futures rates. The out‐of‐sample hedging exercises show that optimal hedge ratios which incorporate information from common jump dynamics substantially reduce daily and weekly portfolio risk. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:801–807, 2010
8
2010
30
08
Journal of Futures Markets
801
807
http://hdl.handle.net/
Wing Hong Chan
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:889-9022015-03-11RePEc
article
A transactions data analysis of arbitrage between index options and index futures
8
1993
13
12
Journal of Futures Markets
889
902
http://hdl.handle.net/
Jae Ha Lee
Nandkumar Nayar
oai:RePEc:wly:jfutmk:v:7:y:1987:i:3:p:341-3442015-03-11RePEc
article
New off‐exchange futures‐related instruments: Modern day “bucket shops” or legitimate products
3
1987
7
06
Journal of Futures Markets
341
344
http://hdl.handle.net/
Frederick L. White
William L. Stein
oai:RePEc:wly:jfutmk:v:14:y:1994:i:1:p:79-1012015-03-11RePEc
article
A reexamination of put‐call parity on index futures
1
1994
14
02
Journal of Futures Markets
79
101
http://hdl.handle.net/
Joel S. Sternberg
oai:RePEc:wly:jfutmk:v:13:y:1993:i:5:p:441-4512015-03-11RePEc
article
Optimal hedging when preferences are state dependent
5
1993
13
08
Journal of Futures Markets
441
451
http://hdl.handle.net/
Eric Briys
Harris Schlesinger
oai:RePEc:wly:jfutmk:v:9:y:1989:i:4:p:307-3192015-03-11RePEc
article
Performance of estimated hedging ratios under yield uncertainty
4
1989
9
08
Journal of Futures Markets
307
319
http://hdl.handle.net/
Stephen E. Miller
Kandice H. Kahl
oai:RePEc:wly:jfutmk:v:24:y:2004:i:7:p:675-6962015-03-11RePEc
article
The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney
During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); the Sydney Futures Exchange (SFE); and the Hong Kong Futures Exchange (HKFE). These changes provide unique natural experiments to compare relative bid‐ask spreads of open outcry vs. electronically traded markets. This paper provides evidence of a decrease in bid‐ask spreads following the introduction of electronic trading, after controlling for changes in price volatility and trading volume. This provides support for the proposition that electronic trading can facilitate higher levels of liquidity and lower transaction costs relative to floor traded markets. However, bid‐ask spreads are more sensitive to price volatility in electronically traded markets, suggesting that the performance of electronic trading systems deteriorates during periods of information arrival. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:675–696, 2004
7
2004
24
07
Journal of Futures Markets
675
696
http://hdl.handle.net/
Michael J. Aitken
Alex Frino
Amelia M. Hill
Elvis Jarnecic
oai:RePEc:wly:jfutmk:v:18:y:1998:i:7:p:743-7632015-03-11RePEc
article
The profitability of index futures arbitrage: Evidence from bid‐ask quotes
Previous studies investigated the profitability of stock index futures based on transaction price data, and could overstate the frequency of arbitrage opportunities and size of arbitrage profits. This article obtains a data base for the Hong Kong index futures and index options market that contains both real‐time transaction prices and bid‐ask quotes; the article further examines the bias of identifying arbitrage opportunities based on transaction prices. The article finds the percentage of observations violating no‐arbitrage bounds is significantly reduced when bid‐ask quotes are employed instead of transaction prices. This suggests studies that implement arbitrage strategies based on transaction prices employ prices from the wrong side of the spread. This article finds a relationship between the frequency of violations (evaluated from transaction prices) and the size of bid‐ask spreads in the futures and options markets. This phenomenon indicates that a larger mispricing, which may arise when the bid‐ask spread is wider, does not necessarily imply profitable arbitrage opportunity. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:743–763, 1998
7
1998
18
10
Journal of Futures Markets
743
763
http://hdl.handle.net/
Kee‐Hong Bae
Kalok Chan
Yan‐Leung Cheung
oai:RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1195-12162015-03-11RePEc
article
Transaction tax and market quality of the Taiwan stock index futures
On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid‐ask spreads, and price volatility. Intraday and daily time series data from May 1, 1999, through April 30, 2001, are tested in a three‐equation structural model. Findings show that transaction taxes have a negative impact on trading volume and bid‐ask spreads, as trading volume increased and bid‐ask spreads decreased in the period following the reduction in the transaction tax. This study's analysis is not consistent with the argument that the imposition of a transaction tax may reduce price volatility because there are no significant changes in price volatility after the tax reduction. Further, it was found that although the reduction in the transaction tax did reduce tax revenues, the proportional decrease in tax revenues is less than the 50% reduction in the tax rate. Finally, tax revenues in the second and third year after the tax reduction increased, as compared to the year before the tax reduction. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1195–1216, 2006
12
2006
26
12
Journal of Futures Markets
1195
1216
http://hdl.handle.net/
Robin K. Chou
George H. K. Wang
oai:RePEc:wly:jfutmk:v:17:y:1997:i:3:p:279-3012015-03-11RePEc
article
An evaluation of price linkages between futures and cash markets for cheddar cheese
3
1997
17
05
Journal of Futures Markets
279
301
http://hdl.handle.net/
T. Randall Fortenbery
Hector O. Zapata
oai:RePEc:wly:jfutmk:v:29:y:2009:i:4:p:319-3472015-03-11RePEc
article
Implied deterministic volatility functions: An empirical test for Euribor options
This study proposes the implied deterministic volatility function (IDVF) for the volatility as the function of moneyness and time in the Heath, Jarrow, and Morton (1992) model to price and hedge Euribor options across moneyness and maturities from 1 January 2003 to 31 December 2005. The IDVF models are extended to two‐ and three‐factor models, indicating that they are potential candidates for interest rate risk management. Based on the criteria of in‐sample fitting, prediction, and hedging, it is found that two‐factor IDVF models provide the best in‐sample and prediction performance, whereas three‐factor IDVF models yield the best results for hedging. Correctly specified multifactor models with the volatility as the function of moneyness and time can replace inappropriate onefactor models. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:319–347, 2009
4
2009
29
04
Journal of Futures Markets
319
347
http://hdl.handle.net/
I‐Doun Kuo
Kai‐Li Wang
oai:RePEc:wly:jfutmk:v:1:y:1981:i:2:p:259-2642015-03-11RePEc
article
Comments on “margins and futures contracts”
2
1981
1
06
Journal of Futures Markets
259
264
http://hdl.handle.net/
Ronald Anderson
oai:RePEc:wly:jfutmk:v:19:y:1999:i:1:p:1-292015-03-11RePEc
article
An empirical examination of the SIMEX Nikkei 225 futures contract around the Kobé earthquake and the Barings Bank collapse
This study examines the levels and interrelationships of volatility, volume, open interest and effective bid‐ask spread on the Nikkei 225 futures contract on SIMEX. The sample chosen is critical; conclusions regarding the effect of the Kobé earthquake of January 1995 and the resulting collapse of Barings Bank in February 1995 can be uncovered. The analysis uses graphs of the levels of the variables and an assessment of the variables using a vector autoregression and impulse response functions. Volume and open interest temporarily increased, whereas the increase in effective bid‐ask spread is more permanent. This seems to be due to the sensitivity that each of the variables develops to volatility as a result of these information shocks. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 1–29, 1999
1
1999
19
02
Journal of Futures Markets
1
29
http://hdl.handle.net/
David M. Walsh
Jinwei Quek
oai:RePEc:wly:jfutmk:v:21:y:2001:i:7:p:599-6312015-03-11RePEc
article
Hedging in Incomplete Markets: An Approximation Procedure for Practical Application
Derivative financial instruments are frequently used as a tool for influencing the risk of entrepreneurial uncertain payoff. To this end, an approximation procedure is developed capable of calculating the optimal quantity of derivatives to be used. It is assumed that the entrepreneurial cash flow is governed by several stochastic factors and that derivatives are only available as a hedging tool for one of these factors. In general, it is easy to determine optimal hedging payment structures with respect to this factor, but real‐life hedging opportunities will typically not allow to perfectly reproduce such a fictitious payment structure, thus leading to complex numerical optimization problems. Instead of directly approximating the entrepreneurial expected utility maximum, we suggest using the fictitious optimal hedging payment structure as a starting point and to minimize the quadratic deviation between payment structures realizable by financial derivatives actually available and the resulting entrepreneurial payoff achieving the fictitious optimal hedging payment structure. This approach proves to be rather easy. Indeed, under certain conditions an explicit solution can be reached. After analyzing the qualitative properties of our approximation solution, we examine its efficiency for two practical hedging problems. In the first example, we get nearly the same solutions with our approximation procedure as with a grid programming approach presented by some other authors. Among other things, our second example may explain why some special kinds of financial derivatives, known as shared currency option under tenders, are not used in international invitations for tenders even though they offer hedging opportunities that are otherwise not available. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 599–631, 2001
7
2001
21
07
Journal of Futures Markets
599
631
http://hdl.handle.net/
Wolfgang Breuer
Marc Gürtler
oai:RePEc:wly:jfutmk:v:20:y:2000:i:1:p:3-42015-03-11RePEc
article
Introduction
1
2000
20
01
Journal of Futures Markets
3
4
http://hdl.handle.net/
Mark J. Powers
oai:RePEc:wly:jfutmk:v:26:y:2006:i:8:p:759-7882015-03-11RePEc
article
Option pricing for the transformed‐binomial class
This article generalizes the seminal Cox‐Ross‐Rubinstein (1979) binomial option pricing model to all members of the class of transformed‐binomial pricing processes. The investigation addresses issues related with asset pricing modeling, hedging strategies, and option pricing. Formulas are derived for (a) replicating or hedging portfolios, (b) risk‐neutral transformed‐binomial probabilities, (c) limiting transformed‐normal distributions, and (d) the value of contingent claims, including limiting analytical option pricing equations. The properties of the transformed‐binomial class of asset pricing processes are also studied. The results of the article are illustrated with several examples. © 2006 Wiley Periodicals, Inc. Jrl. Fut Mark 26:759–787, 2006
8
2006
26
08
Journal of Futures Markets
759
788
http://hdl.handle.net/
António Câmara
San‐Lin Chung
oai:RePEc:wly:jfutmk:v:26:y:2006:i:9:p:895-9222015-03-11RePEc
article
Valuation and optimal strategies of convertible bonds
This article presents a contingent claim valuation of a callable convertible bond with the issuer's credit risk. The optimal call, voluntary conversion, and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. This model not only incorporates tax benefits, bankruptcy costs, refunding costs, and a call notice period, but also takes account of the issuer's debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore, calling convertible bonds too late or too early can be rational. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:895–922, 2006
9
2006
26
09
Journal of Futures Markets
895
922
http://hdl.handle.net/
Szu‐Lang Liao
Hsing‐Hua Huang
oai:RePEc:wly:jfutmk:v:17:y:1997:i:1:p:117-1282015-03-11RePEc
article
The rolling spot futures contract: An error correction model analysis
1
1997
17
02
Journal of Futures Markets
117
128
http://hdl.handle.net/
Asim Ghosh
Claire G. Gilmore
oai:RePEc:wly:jfutmk:v:21:y:2001:i:3:p:213-2362015-03-11RePEc
article
Option pricing based on the generalized lambda distribution
This article proposes the generalized lambda distribution as a tool for modeling nonlognormal security price distributions. Known best as a facile model for generating random variables with a broad range of skewness and kurtosis values, the generalized lambda distribution has potential financial applications, including Monte Carlo simulations, estimations of option‐implied state price densities, and almost any situation requiring a flexible density shape. A multivariate version of the generalized lambda distribution is developed to facilitate stochastic modeling of portfolios of correlated primary and derivative securities. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:213–236, 2001
3
2001
21
03
Journal of Futures Markets
213
236
http://hdl.handle.net/
Charles J. Corrado
oai:RePEc:wly:jfutmk:v:3:y:1983:i:1:p:103-1092015-03-11RePEc
article
Futures Bibliography
1
1983
3
03
Journal of Futures Markets
103
109
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:16:y:1996:i:7:p:781-8082015-03-11RePEc
article
An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract
7
1996
16
10
Journal of Futures Markets
781
808
http://hdl.handle.net/
Scott W. Barnhart
Kandice H. Kahl
Cora Moore Barnhart
oai:RePEc:wly:jfutmk:v:2:y:1982:i:2:p:151-1582015-03-11RePEc
article
Managing foreign interest rate risk
2
1982
2
06
Journal of Futures Markets
151
158
http://hdl.handle.net/
Robert W. Kolb
Gerald D. Gay
James V. Jordan
oai:RePEc:wly:jfutmk:v:23:y:2003:i:2:p:151-1672015-03-11RePEc
article
The economic advantage of learners in a spot/futures market
This article examines the economic advantage of learners in a futures market. We develop a dynamic model of learning in which a spot market and futures market both exist for a real good. The economy is composed of producers who can engage in hedging activities, speculators who trade in the futures market, and consumers who are described by an inverse demand function for the underlying commodity. Producers and speculators are heterogeneous and are differentiated based upon the predictive equations they employ when formulating forecasts of next period's spot price. We derive the dynamic rational‐expectations equilibrium of the model and show that learners enjoy an economic advantage in the futures market. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:151–167, 2003
2
2003
23
02
Journal of Futures Markets
151
167
http://hdl.handle.net/
Scott C. Linn
Bryan E. Stanhouse
oai:RePEc:wly:jfutmk:v:15:y:1995:i:7:p:805-8312015-03-11RePEc
article
Distortion‐free futures price series
7
1995
15
10
Journal of Futures Markets
805
831
http://hdl.handle.net/
Charles G. Geiss
oai:RePEc:wly:jfutmk:v:18:y:1998:i:4:p:427-4482015-03-11RePEc
article
The emergence of a futures market: Mungbeans on the China Zhengzhou Commodity Exchange
4
1998
18
06
Journal of Futures Markets
427
448
http://hdl.handle.net/
Jeffrey Williams
Anne Peck
Albert Park
Scott Rozelle
oai:RePEc:wly:jfutmk:v:5:y:1985:i:2:p:287-2882015-03-11RePEc
article
Legal notes
2
1985
5
06
Journal of Futures Markets
287
288
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:30:y:2010:i:8:p:725-7522015-03-11RePEc
article
Performance and persistence of Commodity Trading Advisors: Further evidence
We re‐examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as well as a category‐specific model introducing asset‐, option‐, and moments‐based factors. Taking more factors into account significantly raises the explanatory power, and 9 out of 12 CTA categories significantly outperform the market. We find that numerous CTAs show persistence over a horizon of at least three months and they are also more likely to be persistent over a longer period. Yet, most of the persistence fades away upon the “acid test” of considering only the top and bottom quartiles of CTAs. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:725–752, 2010
8
2010
30
08
Journal of Futures Markets
725
752
http://hdl.handle.net/
Greg N. Gregoriou
Georges Hübner
Maher Kooli
oai:RePEc:wly:jfutmk:v:3:y:1983:i:3:p:295-3052015-03-11RePEc
article
Stability and the hedging performance of foreign currency futures
3
1983
3
09
Journal of Futures Markets
295
305
http://hdl.handle.net/
Theoharry Grammatikos
Anthony Saunders
oai:RePEc:wly:jfutmk:v:9:y:1989:i:4:p:273-2822015-03-11RePEc
article
The live cattle futures market and daily cash price movements
4
1989
9
08
Journal of Futures Markets
273
282
http://hdl.handle.net/
B. Wade Brorsen
Charles M. Oellermann
Paul L. Farris
oai:RePEc:wly:jfutmk:v:9:y:1989:i:6:p:539-5452015-03-11RePEc
article
Yield opportunities and hedge ratio considerations with fixed income cash‐and‐carry trades
6
1989
9
12
Journal of Futures Markets
539
545
http://hdl.handle.net/
Ira G. Kawaller
Timothy W. Koch
oai:RePEc:wly:jfutmk:v:19:y:1999:i:2:p:195-2162015-03-11RePEc
article
Mid‐day volatility spikes in U.S. futures markets
Recent work offers mixed results regarding the nature of intraday volatility patterns in futures markets and, specifically, the existence of spikes in futures return volatility during the middle of the U.S. trading day (Crain & Lee, 1995; Kawaller, Koch, & Peterson, 1994). This note analyzes time and sales data on two markets—Eurodollar futures and deutsche mark futures—to investigate the existence of such spikes, and to examine the nature of changes in intraday volatility patterns over time. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 195–216, 1999
2
1999
19
04
Journal of Futures Markets
195
216
http://hdl.handle.net/
Diane Scott Docking
Ira G. Kawaller
Paul D. Koch
oai:RePEc:wly:jfutmk:v:23:y:2003:i:10:p:989-10022015-03-11RePEc
article
On the adequacy of single‐stock futures margining requirements
Unlike the traditional futures contract risk‐based approach to margining, new security futures contracts are margined under a strategy‐based margining system similar to that which applies in the equity options markets. As a result, these new margin requirements are potentially much less sensitive to changes in market conditions. This article performs a simulation to evaluate whether these alternative margining methodologies can be expected to produce comparable outcomes. The analysis suggests that a 1‐day settlement period will likely lead to collection of customer margins that are virtually always greater than that which its traditional risk‐based counterpart would require. A 4‐day settlement period would lead to margin requirements that both significantly under‐ and overmargin relative to a comparable risk‐based system. This study argues that exchanges may approach the preferred probability of customer exhaustion by managing margin settlement intervals. Thus, the new strategy‐based rules, in and of themselves, will not necessarily inhibit new security futures trading activity. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:989–1002, 2003
10
2003
23
10
Journal of Futures Markets
989
1002
http://hdl.handle.net/
Hans R. Dutt
Ira L. Wein
oai:RePEc:wly:jfutmk:v:11:y:1991:i:1:p:39-532015-03-11RePEc
article
Estimating time‐varying optimal hedge ratios on futures markets
1
1991
11
02
Journal of Futures Markets
39
53
http://hdl.handle.net/
Robert J. Myers
oai:RePEc:wly:jfutmk:v:23:y:2003:i:3:p:261-2852015-03-11RePEc
article
The quality of volatility traded on the over‐the‐counter currency market: A multiple horizons study
Previous studies of the quality of market‐forecasted volatility have used the volatility that is implied by exchange‐traded option prices. The use of implied volatility in estimating the market view of future volatility has suffered from variable measurement errors, such as the non‐synchronization of option and underlying asset prices, the expiration‐day effect, and the volatility smile effect. This study circumvents these problems by using the quoted implied volatility from the over‐the‐counter (OTC) currency option market, in which traders quote prices in terms of volatility. Furthermore, the OTC currency options have daily quotes for standard maturities, which allows the study to look at the market's ability to forecast future volatility for different horizons. The study finds that quoted implied volatility subsumes the information content of historically based forecasts at shorter horizons, and the former is as good as the latter at longer horizons. These results are consistent with the argument that measurement errors have a substantial effect on the implied volatility estimator and the quality of the inferences that are based on it. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:261–285, 2003
3
2003
23
03
Journal of Futures Markets
261
285
http://hdl.handle.net/
Vicentiu Covrig
Buen Sin Low
oai:RePEc:wly:jfutmk:v:5:y:1985:i:3:p:407-4242015-03-11RePEc
article
An empirical analysis of arbitrage opportunities in the treasury bill futures market
3
1985
5
09
Journal of Futures Markets
407
424
http://hdl.handle.net/
Shantaram P. Hegde
Ben Branch
oai:RePEc:wly:jfutmk:v:30:y:2010:i:2:p:134-1552015-03-11RePEc
article
The information content of implied volatility: Evidence from Australia
This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant time‐to‐maturity of three months. It is observed that the AVX has a significant negative and asymmetric relationship with S&P/ASX 200 returns. When evaluating the forecasting power of the AVX for future stock market volatility, it is found that the AVX contains important information both in‐sample and out‐of‐sample. In‐sample, the AVX significantly improves the fit of a GJR‐GARCH(1, 1) model. Out‐of‐sample, the AVX significantly outperforms the RiskMetrics approach and the GJR‐GARCH(1, 1) model, with its highest forecasting power at the one‐month forecasting horizon. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:134–155, 2010
2
2010
30
02
Journal of Futures Markets
134
155
http://hdl.handle.net/
Bart Frijns
Christian Tallau
Alireza Tourani‐Rad
oai:RePEc:wly:jfutmk:v:16:y:1996:i:2:p:189-1992015-03-11RePEc
article
An optimal price index for stock index futures contracts
2
1996
16
04
Journal of Futures Markets
189
199
http://hdl.handle.net/
Jonathan Rougier
oai:RePEc:wly:jfutmk:v:26:y:2006:i:6:p:533-5702015-03-11RePEc
article
Too many options? Theory and evidence on option exchange design
A model of option exchange design is proposed and tested. The model allows investors to choose among several exchange‐traded options based on a trade‐off between standardization costs and liquidity/transaction costs. It employs a spatial economics approach to provide results for the existence of markets for particular option contracts on the exchange, a comparison of exchange design by a social planner and a profit‐maximizing monopolist (corresponding to the idea that most derivatives exchanges centralize the design and creation of option contracts), and comparative statics that can potentially aid decision makers in the design of option exchanges. In the empirical work, open interest is analyzed for Chicago Board Options Exchange (CBOE) options on the stocks in the S&P 100 index. In accordance with the model's predictions, open interest forms a previously undocumented seesaw pattern across strike prices, clustering around certain strike prices, and dropping off for the adjacent strike prices. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:533–570, 2006
6
2006
26
06
Journal of Futures Markets
533
570
http://hdl.handle.net/
Frank Fehle
oai:RePEc:wly:jfutmk:v:2:y:1982:i:3:p:261-2942015-03-11RePEc
article
Issues in futures markets: A survey
3
1982
2
09
Journal of Futures Markets
261
294
http://hdl.handle.net/
Avraham Kamara
oai:RePEc:wly:jfutmk:v:13:y:1993:i:1:p:77-912015-03-11RePEc
article
Arbitrage free pricing of interest rate futures and forward contracts
1
1993
13
02
Journal of Futures Markets
77
91
http://hdl.handle.net/
Bjorn Flesaker
oai:RePEc:wly:jfutmk:v:27:y:2007:i:11:p:1053-10832015-03-11RePEc
article
A new look at hedging with derivatives: Will firms reduce market risk exposure?
This study examines derivatives use of foreign exchange, interest rate, and commodities risk by nonfinancial firms across multiple industries, using data from 1995 to 2001. This work considers the interaction of a firm's risk exposures, derivatives use, and real operations simultaneously, and considers how these factors change over time using a consistent database. Hedging with derivatives is only signi.cantly related to commodity risk exposure during most years of the study, and to a more limited degree to interest rate exposure. Further, a strong correlation was found between risk exposures for some years using a new technique, suggesting that univariate modeling is not always appropriate. The implications are that hedging with derivatives is not always important to a firm's rate of return and is linked to other nonfinancial and economic factors. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1053–1083, 2007
11
2007
27
11
Journal of Futures Markets
1053
1083
http://hdl.handle.net/
Turan G. Bali
Susan R. Hume
Terrence F. Martell
oai:RePEc:wly:jfutmk:v:17:y:1997:i:5:p:515-5412015-03-11RePEc
article
A comparison of futures pricing models in a new market: The case of individual share futures
5
1997
17
08
Journal of Futures Markets
515
541
http://hdl.handle.net/
T.J. Brailsford
A.J. Cusack
oai:RePEc:wly:jfutmk:v:24:y:2004:i:5:p:413-4282015-03-11RePEc
article
Clustering in the futures market: Evidence from S&P 500 futures contracts
We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is designated a front‐month contract (decrease in clustering) and a back‐month contract (increase in clustering). We find that trade price clustering is a positive function of volatility and a negative function of volume or open interest. In addition, we find a high degree of clustering in the daily opening and closing prices, but a lower degree of clustering in the settlement prices. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:413–428, 2004
5
2004
24
05
Journal of Futures Markets
413
428
http://hdl.handle.net/
Adam L. Schwartz
Bonnie F. Van Ness
Robert A. Van Ness
oai:RePEc:wly:jfutmk:v:14:y:1994:i:5:p:575-5962015-03-11RePEc
article
The pricing of municipal bond index futures
5
1994
14
08
Journal of Futures Markets
575
596
http://hdl.handle.net/
Thomas R. Hamilton
Scott E. Hein
Timothy W. Koch
oai:RePEc:wly:jfutmk:v:30:y:2010:i:11:p:1082-10992015-03-11RePEc
article
Optimal approximations of nonlinear payoffs in static replication
Static replication of nonlinear payoffs by line segments (or equivalently vanilla options) is an important hedging method, which unfortunately is only an approximation. If the strike prices of options are adjustable (for OTC options), two optimal approximations can be defined for replication by piecewise chords. The first is a naive minimum area approach, which seeks a set of strike prices to minimize the area enclosed by the payoff curve and the chords. The second improves on the first by taking the conditional distribution of the underlying into consideration, and minimizes the expected area instead. When the strike prices are fixed (for exchange‐traded options), a third or the approach of least expected squares locates the minimum for the expected sum of squared differences between the payoff and the replicating portfolio, by varying the weights or quantities of the options used in the replication. For a payoff of variance swap, minimum expected area and least expected squares are found to produce the best numerical results in terms of cost of replication. Finally, piecewise tangents can also be utilized in static replication, which together with replication by chords, forms a pair of lower or upper bound to a nonlinear payoff. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
11
2010
30
11
Journal of Futures Markets
1082
1099
http://hdl.handle.net/
Qiang Liu
oai:RePEc:wly:jfutmk:v:22:y:2002:i:2:p:143-1532015-03-11RePEc
article
The Binomial Black–Scholes model and the Greeks
This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black–Scholes method advocated by Broadie and Detemple (1996) does not suffer from the same problem; therefore, it is very effective in the calculation of the Greeks. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:143–153, 2002
2
2002
22
02
Journal of Futures Markets
143
153
http://hdl.handle.net/
San‐Lin Chung
Mark Shackleton
oai:RePEc:wly:jfutmk:v:13:y:1993:i:5:p:563-5772015-03-11RePEc
article
A modified lattice approach to option pricing
5
1993
13
08
Journal of Futures Markets
563
577
http://hdl.handle.net/
Yisong Tian
oai:RePEc:wly:jfutmk:v:6:y:1986:i:1:p:1-102015-03-11RePEc
article
Lead‐lag relationships between trading volume and price variability: New evidence
1
1986
6
03
Journal of Futures Markets
1
10
http://hdl.handle.net/
Philip Garcia
Raymond M. Leuthold
Hector Zapata
oai:RePEc:wly:jfutmk:v:22:y:2002:i:2:p:123-1412015-03-11RePEc
article
Risk aversion, disappointment aversion, and futures hedging
This article examines the effect of disappointment aversion on futures hedging. We incorporated a constant‐absolute‐risk‐aversion (CARA) utility function into the disappointment‐aversion framework of Gul (1991). It is shown that a more disappointment‐averse hedger will choose an optimal futures position closer to the minimum‐variance hedge than will a less‐disappointment‐averse hedger. The effect of disappointment aversion is stronger when the hedger is less risk averse. A small disappointment aversion will cause a near‐risk neutral hedger to take a drastically different position. In addition, a more‐risk‐averse or disappointment‐averse hedger will have a lower reference point. Numerical results indicate that the reference point of a disappointment‐averse hedger tends to be lower than that of a conventional loss‐averse hedger. Consequently, the disappointment‐averse hedger will act more conservatively, not exploiting profitable opportunities as much as the conventional loss averse hedger will. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:123–141, 2002
2
2002
22
02
Journal of Futures Markets
123
141
http://hdl.handle.net/
Donald Lien
Yaqin Wang
oai:RePEc:wly:jfutmk:v:3:y:1983:i:1:p:55-632015-03-11RePEc
article
The performance of live cattle futures as predictors of subsequent spot prices
1
1983
3
03
Journal of Futures Markets
55
63
http://hdl.handle.net/
Robert W. Kolb
Gerald D. Gay
oai:RePEc:wly:jfutmk:v:11:y:1991:i:6:p:755-7612015-03-11RePEc
article
Futures bibliography
6
1991
11
12
Journal of Futures Markets
755
761
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:12:y:1992:i:4:p:383-4092015-03-11RePEc
article
The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures
4
1992
12
08
Journal of Futures Markets
383
409
http://hdl.handle.net/
Gregory J. Kuserk
Peter R. Locke
Chera L. Sayers
oai:RePEc:wly:jfutmk:v:8:y:1988:i:4:p:457-4812015-03-11RePEc
article
Optimal bank asset and liability management with financial futures
This paper presents a model for optimal bank asset and liability management with financial futures. This model is a multiperiod linear programming model based on Markowitz portfolio theory. Given the bank's initial position, its economic forecasts, and the constraints under which it operates, the model can help a bank's senior executives determine the current and expected future balance sheet composition and financial futures position which will minimize the bank's operating risks and which will meet the bank's expected profits goal with the minimum possible profits risk. By parametrically varying the expected profits goal, the model will generate the set of risk‐return efficient decisions. Bankers need then examine only the set of efficient decisions to choose their optimal solution. A simplified example is used to illustrate the application of our model and to demonstrate that banks that use financial futures in asset and liability management can obtain better results than banks that do not use financial futures.
4
1988
8
08
Journal of Futures Markets
457
481
http://hdl.handle.net/
Abraham I. Brodt
oai:RePEc:wly:jfutmk:v:16:y:1996:i:3:p:273-2872015-03-11RePEc
article
Are hog and pig reports informative?
3
1996
16
05
Journal of Futures Markets
273
287
http://hdl.handle.net/
Thomas L. Mann
Richard J. Dowen
oai:RePEc:wly:jfutmk:v:27:y:2007:i:4:p:305-3362015-03-11RePEc
article
On inverse carrying charges and spatial arbitrage
A dynamic trader problem under uncertain demand is presented and spatial and temporal arbitrage conditions derived from first‐order conditions. A time‐varying storage premium that explains backwardation and inverse carrying charges independent of risk‐aversion, stockouts, or convenience is developed. Random‐returns and cost‐of‐carry models are expressed as special conditions of the derived model. An applied composite‐error model is estimated using data from the London Metal Exchange's copper contract. Predictions of the model are tested against well‐known alternatives. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:305–336, 2007
4
2007
27
04
Journal of Futures Markets
305
336
http://hdl.handle.net/
Donald F. Larson
oai:RePEc:wly:jfutmk:v:30:y:2010:i:3:p:230-2562015-03-11RePEc
article
Volatility components: The term structure dynamics of VIX futures
In this study we empirically study the variance term structure using volatility index (VIX) futures market. We first derive a new pricing framework for VIX futures, which is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and maximum likelihood method for model estimations and comparisons. We provide evidence that a third factor is statistically significant for variance term structure dynamics. We find that our parameter estimates are robust and helpful to shed light on economic significance of variance factor model. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:230–256, 2010
3
2010
30
03
Journal of Futures Markets
230
256
http://hdl.handle.net/
Zhongjin Lu
Yingzi Zhu
oai:RePEc:wly:jfutmk:v:23:y:2003:i:10:p:915-9292015-03-11RePEc
article
Approximating American option prices in the GARCH framework
10
2003
23
10
Journal of Futures Markets
915
929
http://hdl.handle.net/
Jin‐Chuan Duan
Geneviève Gauthier
Caroline Sasseville
Jean‐Guy Simonato
oai:RePEc:wly:jfutmk:v:30:y:2010:i:3:p:203-2292015-03-11RePEc
article
Narrow framing: Professions, sophistication, and experience
We document support for the narrow framing effect proposed by Tversky, A. and Kahneman, D. (1981). Our findings that traders in an options market frame complicated investment decisions into simpler ones support the narrow framing effect. Traders' professionalism, sophistication, and trading experience are negatively correlated with the degree of narrow framing, implying that these factors help to reduce investors' behavioral bias. Our study bridges the gap between the psychological literature and financial literature in terms of the relationship between experience/sophistication and narrow framing. The article sheds light on the decision‐making process in an options market, and the relationship between narrow framing and sophistication/experience. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:203–229, 2010
3
2010
30
03
Journal of Futures Markets
203
229
http://hdl.handle.net/
Yu‐Jane Liu
Ming‐Chun Wang
Longkai Zhao
oai:RePEc:wly:jfutmk:v:3:y:1983:i:2:p:113-1352015-03-11RePEc
article
Commercial use and speculative measures of the livestock commodity futures markets
2
1983
3
06
Journal of Futures Markets
113
135
http://hdl.handle.net/
Raymond M. Leuthold
oai:RePEc:wly:jfutmk:v:13:y:1993:i:6:p:579-5952015-03-11RePEc
article
Export/Import risks at alternative stages of U.S. grain export trade
6
1993
13
09
Journal of Futures Markets
579
595
http://hdl.handle.net/
Robert J. Hauser
David Neff
oai:RePEc:wly:jfutmk:v:28:y:2008:i:4:p:354-3752015-03-11RePEc
article
Price discovery in the options markets: An application of put‐call parity
This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put‐call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviating the burden of volatility estimation. Consistent with the trading‐cost hypothesis, a dominant tendency is found for futures and a subordinate but non‐trivial price discovery from options. The relative weight of options price discovery is sensitive to the methodology employed as the means of inferring the option‐implicit spot price. The empirical evidence suggests that the information contained in the PCP‐implied spot encompasses that provided by the Black‐Scholes‐implied spot. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:354– 375, 2008
4
2008
28
04
Journal of Futures Markets
354
375
http://hdl.handle.net/
Wen‐Liang G. Hsieh
Chin‐Shen Lee
Shu‐Fang Yuan
oai:RePEc:wly:jfutmk:v:25:y:2005:i:7:p:613-6412015-03-11RePEc
article
Derivative pricing model and time‐series approaches to hedging: A comparison
This research compares derivative pricing model and statistical time‐series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out‐of‐sample hedging effectiveness of the two approaches when hedging commodity price risk using futures contracts. For various methods of parameter estimation and inference, we find that the derivative pricing models cannot out‐perform a vector error‐correction model with a GARCH error structure. The derivative pricing models' unpalatable assumption of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted optionimplied volatility term structures are employed. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:613–641, 2005
7
2005
25
07
Journal of Futures Markets
613
641
http://hdl.handle.net/
Henry L. Bryant
Michael S. Haigh
oai:RePEc:wly:jfutmk:v:8:y:1988:i:4:p:391-4122015-03-11RePEc
article
Index futures, program trading, and stock market procedures
4
1988
8
08
Journal of Futures Markets
391
412
http://hdl.handle.net/
Hans R. Stoll
oai:RePEc:wly:jfutmk:v:24:y:2004:i:2:p:179-1922015-03-11RePEc
article
Knock‐in American options
A knock‐in American option under a trigger clause is an option contract in which the option holder receives an American option conditional on the underlying stock price breaching a certain trigger level (also called barrier level). We present analytic valuation formulas for knock‐in American options under the Black‐Scholes pricing framework. The price formulas possess different analytic representations, depending on the relation between the trigger stock price level and the critical stock price of the underlying American option. We also performed numerical valuation of several knock‐in American options to illustrate the efficacy of the price formulas. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:179–192, 2004
2
2004
24
02
Journal of Futures Markets
179
192
http://hdl.handle.net/
Min Dai
Yue Kuen Kwok
oai:RePEc:wly:jfutmk:v:9:y:1989:i:6:p:547-5632015-03-11RePEc
article
Production and hedging decisions in the presence of basis risk
6
1989
9
12
Journal of Futures Markets
547
563
http://hdl.handle.net/
Jacob Paroush
Avner Wolf
oai:RePEc:wly:jfutmk:v:17:y:1997:i:4:p:433-4732015-03-11RePEc
article
Searching for fractal structure in agricultural futures markets
4
1997
17
06
Journal of Futures Markets
433
473
http://hdl.handle.net/
Marco Corazza
A.G. Malliaris
Carla Nardelli
oai:RePEc:wly:jfutmk:v:14:y:1994:i:3:p:323-3462015-03-11RePEc
article
Assessing the intraday relationship between implied and historical volatility
3
1994
14
05
Journal of Futures Markets
323
346
http://hdl.handle.net/
Ira G. Kawaller
Paul D. Koch
John E. Peterson
oai:RePEc:wly:jfutmk:v:2:y:1982:i:2:p:195-2062015-03-11RePEc
article
Basis speculation in commodity futures: The maturity effect
2
1982
2
06
Journal of Futures Markets
195
206
http://hdl.handle.net/
Mark G. Castelino
Jack Clark Francis
oai:RePEc:wly:jfutmk:v:30:y:2010:i:2:p:175-1872015-03-11RePEc
article
Pricing American options by canonical least‐squares Monte Carlo
Options pricing and hedging under canonical valuation have recently been demonstrated to be quite effective, but unfortunately are only applicable to European options. This study proposes an approach called canonical least‐squares Monte Carlo (CLM) to price American options. CLM proceeds in three stages. First, given a set of historical gross returns (or price ratios) of the underlying asset for a chosen time interval, a discrete risk‐neutral distribution is obtained via the canonical approach. Second, from this canonical distribution independent random samples of gross returns are taken to simulate future price paths for the underlying. Third, to those paths the least‐squares Monte Carlo algorithm is then applied to obtain early exercise strategies for American options. Numerical results from simulation‐generated gross returns under geometric Brownian motions show that the proposed method yields reasonably accurate prices for American puts. The CLM method turns out to be quite similar to the nonparametric approach of Alcock and Carmichael and simulations done with CLM provide additional support for their recent findings. CLM can therefore be viewed as an alternative for pricing American options, and perhaps could even be utilized in cases when the nature of the underlying process is not known. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:175–187, 2010
2
2010
30
02
Journal of Futures Markets
175
187
http://hdl.handle.net/
Qiang Liu
oai:RePEc:wly:jfutmk:v:15:y:1995:i:6:p:637-6482015-03-11RePEc
article
Do futures prices for commodities embody risk premiums?
6
1995
15
09
Journal of Futures Markets
637
648
http://hdl.handle.net/
Richard Deaves
Itzhak Krinsky
oai:RePEc:wly:jfutmk:v:14:y:1994:i:8:p:877-8902015-03-11RePEc
article
Price equilibrium and transmission in a controlled economy: A case study of the metal exchange in China
8
1994
14
12
Journal of Futures Markets
877
890
http://hdl.handle.net/
Gang Shyy
Bob Butcher
oai:RePEc:wly:jfutmk:v:7:y:1987:i:5:p:501-5182015-03-11RePEc
article
Oil prices and energy futures
5
1987
7
10
Journal of Futures Markets
501
518
http://hdl.handle.net/
K. C. Chen
R. Stephen Sears
Dah‐Nein Tzang
oai:RePEc:wly:jfutmk:v:20:y:2000:i:2:p:167-1882015-03-11RePEc
article
Early exercise of American put options: Investor rationality on the Swedish equity options market
Using Swedish equity option data, this study investigates how well the actual exercise behavior of American put options corresponds to the early exercise rules. The optimal exercise strategy is established in two ways. First, the critical exercise price, above which a put option should be exercised early, is computed and compared to the actual exercise price. Second, the exercise value of the option is compared to its market bid price. The results show that most early exercise decisions conform to rational exercise behavior, even though a large number of failures to exercise are found. Most of the faulty exercises can also be discarded after a sensitivity analysis, although several failures to exercise are considered irrational, even after taking transaction costs into account. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:167–188, 2000
2
2000
20
02
Journal of Futures Markets
167
188
http://hdl.handle.net/
Malin Engström
Lars Nordén
Anders Strömberg
oai:RePEc:wly:jfutmk:v:13:y:1993:i:1:p:61-752015-03-11RePEc
article
Putting on the crush: Day trading the soybean complex spread
1
1993
13
02
Journal of Futures Markets
61
75
http://hdl.handle.net/
Dominic Rechner
Geoffrey Poitras
oai:RePEc:wly:jfutmk:v:7:y:1987:i:5:p:535-5542015-03-11RePEc
article
Transactions data tests of the black model for soybean futures options
5
1987
7
10
Journal of Futures Markets
535
554
http://hdl.handle.net/
James V. Jordan
William E. Seale
Nancy C. McCabe
David E. Kenyon
oai:RePEc:wly:jfutmk:v:27:y:2007:i:11:p:1021-10512015-03-11RePEc
article
Price discovery in the treasury futures market
The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, they compare how orderflow contributes to price discovery and analyze how and when information flows from one market to the other. How a number of environmental variables (trader type, financing rates, and liquidity) impact the information flows between these two markets is also considered. Their findings provide new evidence on the extent to which price discovery happens away from a primary market. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1021–1051, 2007
11
2007
27
11
Journal of Futures Markets
1021
1051
http://hdl.handle.net/
Michael W. Brandt
Kenneth A. Kavajecz
Shane E. Underwood
oai:RePEc:wly:jfutmk:v:11:y:1991:i:2:p:153-1632015-03-11RePEc
article
Futures trading, transaction costs, and stock market volatility
2
1991
11
04
Journal of Futures Markets
153
163
http://hdl.handle.net/
B. Wade Brorsen
oai:RePEc:wly:jfutmk:v:8:y:1988:i:1:p:67-772015-03-11RePEc
article
A semi‐strong test of the efficiency of the aluminum and copper markets at the LME
1
1988
8
02
Journal of Futures Markets
67
77
http://hdl.handle.net/
Martin Gross
oai:RePEc:wly:jfutmk:v:5:y:1985:i:2:p:289-2952015-03-11RePEc
article
Futures bibliography
2
1985
5
06
Journal of Futures Markets
289
295
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:17:y:1997:i:8:p:975-9782015-03-11RePEc
article
Forwards or options: A correction
8
1997
17
12
Journal of Futures Markets
975
978
http://hdl.handle.net/
Da‐Hsiang Donald Lien
oai:RePEc:wly:jfutmk:v:21:y:2001:i:5:p:447-4622015-03-11RePEc
article
S&P futures returns and contrary sentiment indicators
This article investigates the predictive power of popular market‐based sentiment measures for subsequent returns on the Standard & Poor’s (S&P) 500 futures contract over 10‐day, 20‐day, and 30‐day horizons from January 1989 through June 1999. These measures include the volatility index, the put–call ratio, and the trading index. The empirical results show that these variables over a variety of specifications frequently have statistically and economically significant forecasting power. The results indicate that these variables are contrarian indicators, consistent with the view that periods of extreme fear in the stock market have provided excellent buying opportunities. Finally, out‐of‐sample trading simulations performed over the second half of the sample period demonstrate that profits and risk‐adjusted profits would have been enhanced by buying S&P futures when the fear indicators were high rather than low. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:447–462, 2001
5
2001
21
05
Journal of Futures Markets
447
462
http://hdl.handle.net/
Robert I. Webb
David P. Simon
Roy A. Wiggins III
oai:RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-2782015-03-11RePEc
article
What moves the gold market?
In this article, we provide a detailed characterization of the intraday return volatility in gold futures contracts traded on the COMEX division of the New York Mercantile Exchange. The approach allows the study of intraday patterns, interday ARCH effects, and announcement effects in a coherent framework. We show that the intraday patterns exert a profound impact on the dynamics of return volatility. Among the 23 U.S. macroeconomic announcements, we identify employment reports, gross domestic product, consumer price index, and personal income as having the greatest impact. Finally, by appropriately filtering out the intraday patterns, we find that the high‐frequency returns reveal long‐memory volatility dependencies in the gold market, which have important implications on the pricing of long‐term gold options and the determination of optimal hedge ratios. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:257–278, 2001
3
2001
21
03
Journal of Futures Markets
257
278
http://hdl.handle.net/
Jun Cai
Yan‐Leung Cheung
Michael C. S. Wong
oai:RePEc:wly:jfutmk:v:4:y:1984:i:2:p:141-1542015-03-11RePEc
article
Profitable hedging opportunities and risk premiums for producers in live cattle and live hog futures markets
2
1984
4
06
Journal of Futures Markets
141
154
http://hdl.handle.net/
Marvin L. Hayenga
Dennis D. Dipietre
J. Marvin Skadberg
Ted C. Schroeder
oai:RePEc:wly:jfutmk:v:5:y:1985:i:1:p:115-1192015-03-11RePEc
article
Conversion factor risk in treasury bond futures: Comment
1
1985
5
03
Journal of Futures Markets
115
119
http://hdl.handle.net/
Robert A. Jones
oai:RePEc:wly:jfutmk:v:23:y:2003:i:4:p:389-3982015-03-11RePEc
article
Futures hedging under mark‐to‐market risk
This article introduces mark‐to‐market risk into the conventional futures hedging framework. It is shown that a hedger concerned with maximum daily loss will considerably reduce his futures position when the risk is taken into account. In case of a moderate hedge horizon, the hedger will hedge approximately 80% of his spot position. The effect of mark‐to‐market risk decreases very slowly as the hedge horizon increases. If the hedger is concerned with average daily loss, the effect is minimal for a moderate hedge horizon. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:389–398, 2003
4
2003
23
04
Journal of Futures Markets
389
398
http://hdl.handle.net/
Donald Lien
Anlong Li
oai:RePEc:wly:jfutmk:v:12:y:1992:i:6:p:609-6202015-03-11RePEc
article
Inter‐currency transmission of volatility in Foreign exchange futures
6
1992
12
12
Journal of Futures Markets
609
620
http://hdl.handle.net/
Mohammad Najand
Hamid Rahman
Kenneth Yung
oai:RePEc:wly:jfutmk:v:26:y:2006:i:4:p:369-3902015-03-11RePEc
article
Hedging and value at risk
In this article, it is shown that although minimum‐variance hedging unambiguously reduces the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; consequently the effectiveness of hedging in terms of value at risk (VaR) and conditional value at risk (CVaR) is uncertain. The reduction in daily standard deviation is compared with the reduction in 1‐day 99% VaR and CVaR for 20 cross‐hedged currency portfolios with the use of historical simulation. On average, minimum‐variance hedging reduces both VaR and CVaR by about 80% of the reduction in standard deviation. Also investigated, as an alternative to minimum‐variance hedging, are minimum‐VaR and minimum‐CVaR hedging strategies that minimize the historical‐simulation VaR and CVaR of the hedge portfolio, respectively. The in‐sample results suggest that in terms of VaR and CVaR reduction, minimum‐VaR and minimum‐CVaR hedging can potentially yield small but consistent improvements over minimum‐variance hedging. The out‐of‐sample results are more mixed, although there is a small improvement for minimum‐VaR hedging for the majority of the currencies considered. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:369–390, 2006
4
2006
26
04
Journal of Futures Markets
369
390
http://hdl.handle.net/
Richard D. F. Harris
Jian Shen
oai:RePEc:wly:jfutmk:v:14:y:1994:i:1:p:51-782015-03-11RePEc
article
The effect of market opening and closing on the volatility of eurodollar futures prices
1
1994
14
02
Journal of Futures Markets
51
78
http://hdl.handle.net/
Robert I. Webb
David G. Smith
oai:RePEc:wly:jfutmk:v:29:y:2009:i:2:p:179-1962015-03-11RePEc
article
On the exit value of a forward contract
Default risk associated with forward contracts can be substantial, yet these financial instruments are widely used to hedge price risk. An objectively priced exit option on the forward contract would help reduce the likelihood of litigation associated with contract default. A method is proposed to compute the exit option's value for an arbitrary forward contract, using Black's (1976) model and option premium data. The time series dynamics of the exit option value are confirmed to be, like its underlying, well described by a martingale with heavy‐tailed (Student) GARCH residuals. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29: 179–196, 2009
2
2009
29
02
Journal of Futures Markets
179
196
http://hdl.handle.net/
Gabriel J. Power
Calum G. Turvey
oai:RePEc:wly:jfutmk:v:6:y:1986:i:2:p:307-3242015-03-11RePEc
article
A comparative analysis of futures contract margins
2
1986
6
06
Journal of Futures Markets
307
324
http://hdl.handle.net/
Gerald D. Gay
William C. Hunter
Robert W. Kolb
oai:RePEc:wly:jfutmk:v:12:y:1992:i:5:p:575-5852015-03-11RePEc
article
Impact of the price adjustment process and trading noise on return patterns of grain futures
5
1992
12
10
Journal of Futures Markets
575
585
http://hdl.handle.net/
Shi‐Miin Liu
Sarahelen Thompson
Paul Newbold
oai:RePEc:wly:jfutmk:v:14:y:1994:i:8:p:915-9252015-03-11RePEc
article
Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987
8
1994
14
12
Journal of Futures Markets
915
925
http://hdl.handle.net/
Bala Arshanapalli
John Doukas
oai:RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1145-11462015-03-11RePEc
article
Editor's note
12
2006
26
12
Journal of Futures Markets
1145
1146
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:5:y:1985:i:2:p:201-2222015-03-11RePEc
article
Use of three stock index futures in hedging decisions
2
1985
5
06
Journal of Futures Markets
201
222
http://hdl.handle.net/
Joan C. Junkus
Cheng F. Lee
oai:RePEc:wly:jfutmk:v:7:y:1987:i:5:p:483-4962015-03-11RePEc
article
Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects
5
1987
7
10
Journal of Futures Markets
483
496
http://hdl.handle.net/
John J. Merrick Jr.
oai:RePEc:wly:jfutmk:v:23:y:2003:i:4:p:315-3452015-03-11RePEc
article
Option volume and volatility response to scheduled economic news releases
In this article, we examine the impact of 21 different types of scheduled macroeconomic news announcements on S&P 100 stock‐index option volume and implied volatility. We find that there is a 2‐h delay after the announcement before volume increases. However, there is an immediate increase in volatility, which slowly dissipates over several hours. Further analysis shows that most of the high volume and volatility after announcements come from the announcements that are considered bad news. That is, bad news creates high volatility and high volume, whereas good news elicits lower volume and is not associated with higher volatility. These results are not consistent with the predictions of any one model. We also find that the announcements that cause the largest reaction in the equity option market are Consumer Credit, Consumer Spending, Factory Inventories, NAPM, and Non‐Farm Payrolls. Six other announcements elicit a mild response. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:315–345, 2003
4
2003
23
04
Journal of Futures Markets
315
345
http://hdl.handle.net/
John R. Nofsinger
Brian Prucyk
oai:RePEc:wly:jfutmk:v:2:y:1982:i:2:p:183-1932015-03-11RePEc
article
Restructuring the maturity of regulated deposits with treasury‐bill futures
2
1982
2
06
Journal of Futures Markets
183
193
http://hdl.handle.net/
Rodney L. Jacobs
oai:RePEc:wly:jfutmk:v:1:y:1981:i:2:p:157-1592015-03-11RePEc
article
Comments on “innovation, competition, and new contract design in futures markets”
2
1981
1
06
Journal of Futures Markets
157
159
http://hdl.handle.net/
Gary L. Seevers
oai:RePEc:wly:jfutmk:v:4:y:1984:i:1:p:75-852015-03-11RePEc
article
Equivalent delivery procedures for gnma futures contracts and options
1
1984
4
03
Journal of Futures Markets
75
85
http://hdl.handle.net/
Walter L. Eckardt Jr.
oai:RePEc:wly:jfutmk:v:21:y:2001:i:10:p:953-9852015-03-11RePEc
article
Risk Management in Agricultural Markets: A Review
This article surveys and evaluates the current state of knowledge about producers' marketing strategies to manage price and revenue risk for farm commodities. The review highlights gaps between concepts and their implementation. Many well‐developed models of price behavior exist, but appropriate characterization and estimation of the probability distributions of commodity prices remain elusive. Hence, the preferred measure of price risk is ambiguous. Numerous models of optimal marketing portfolios for farmers have been specified, but their behavior appears to be inconsistent with most, if not all, of these models. In addition, some research suggests that farmers can earn speculative profits, which is inconsistent with notions of efficient markets. The conclusions discuss what academic research can and cannot accomplish in relation to assisting producers with risk‐management decisions. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:953–985, 2001
10
2001
21
10
Journal of Futures Markets
953
985
http://hdl.handle.net/
William G. Tomek
Hikaru Hanawa Peterson
oai:RePEc:wly:jfutmk:v:9:y:1989:i:1:p:1-132015-03-11RePEc
article
A theory of negative prices for storage
1
1989
9
02
Journal of Futures Markets
1
13
http://hdl.handle.net/
Brian D. Wright
Jeffrey C. Williams
oai:RePEc:wly:jfutmk:v:11:y:1991:i:1:p:55-682015-03-11RePEc
article
Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies
1
1991
11
02
Journal of Futures Markets
55
68
http://hdl.handle.net/
A. G. Malliaris
Jorge Urrutia
oai:RePEc:wly:jfutmk:v:30:y:2010:i:5:p:465-4892015-03-11RePEc
article
Examination of long‐term bond iShare option selling strategies
This article examines volatility trades in Lehman Brothers 20+ Year US Treasury Index iShare (TLT) options from July 2003 through May 2007. Unconditionally selling front contract strangles and straddles and holding for one month is highly profitable after transactions costs. Short‐term option selling strategies are enhanced when implied volatility is high relative to time series volatility forecasts. Risk management strategies such as stop loss orders detract from profitability, while take profit orders have only modest favorable effects on profitability. Overall, the results demonstrate that TLT option selling strategies offered attractive risk‐return tradeoffs over the sample period. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:465–489, 2010
5
2010
30
05
Journal of Futures Markets
465
489
http://hdl.handle.net/
David P. Simon
oai:RePEc:wly:jfutmk:v:4:y:1984:i:3:p:333-3662015-03-11RePEc
article
A legal and economic analysis of manipulation in futures markets
3
1984
4
09
Journal of Futures Markets
333
366
http://hdl.handle.net/
Linda N. Edwards
Franklin R. Edwards
oai:RePEc:wly:jfutmk:v:15:y:1995:i:4:p:457-4882015-03-11RePEc
article
Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets
4
1995
15
06
Journal of Futures Markets
457
488
http://hdl.handle.net/
Abhay H. Abhyankar
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:903-9072015-03-11RePEc
article
An alternative formulation on the pricing of foreign currency options
8
1993
13
12
Journal of Futures Markets
903
907
http://hdl.handle.net/
Raymond Chiang
John Okunev
oai:RePEc:wly:jfutmk:v:26:y:2006:i:9:p:843-8672015-03-11RePEc
article
Option bid‐ask spread and scalping risk: Evidence from a covered warrants market
This study develops and empirically tests a simple market microstructure model to capture the main determinants of option bid‐ask spread. The model is based on option market making costs (initial hedging, rebalancing, and order processing costs), and incorporates a reservation bid‐ask spread that option market makers apply to protect themselves from scalpers. The model is tested on a sample of covered warrants, which are optionlike securities issued by banks, traded on the Italian Stock Exchange. The empirical analysis validates the model. The initial cost of setting up a delta neutral portfolio has been found to be an important determinant of option bid‐ask spread, as well as rebalancing costs to keep the portfolio delta neutral. This result provides evidence of a further link between options and underlying assets: the spread of the option is positively related to the spread of its underlying asset. Empirical evidence also indicates that the reservation bid‐ask spread, computed as the product of option delta and underlying asset tick, plays a very important role in explaining the bid‐ask spread of options. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:843–867, 2006
9
2006
26
09
Journal of Futures Markets
843
867
http://hdl.handle.net/
Giovanni Petrella
oai:RePEc:wly:jfutmk:v:15:y:1995:i:6:p:649-6752015-03-11RePEc
article
A trading simulation test for weak‐form efficiency in live cattle futures
6
1995
15
09
Journal of Futures Markets
649
675
http://hdl.handle.net/
Terry L. Kastens
Ted C. Schroeder
oai:RePEc:wly:jfutmk:v:28:y:2008:i:2:p:131-1542015-03-11RePEc
article
Interdealer inference and price discovery
Futures floor dealers are investigated in terms of their joint product of price discovery. A vector error correction model is estimated using floor trader proprietary prices, examining the resulting information shares and common factor components. More active dealers are significant price leaders, with only one fifth of the traders responsible for a significantly higher degree of price discovery. Price leadership is more significant in both volatile and falling markets, when information is perhaps more valuable. It is also found that the most active floor traders generally trade at the same time and in the same direction. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 131–154, 2008
2
2008
28
02
Journal of Futures Markets
131
154
http://hdl.handle.net/
Tzu‐man Huang
Peter Locke
oai:RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-10752015-03-11RePEc
article
Volatility spillover effects and cross hedging in corn and crude oil futures
Using a volatility spillover model, we find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time‐varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, when the ethanol–gasoline consumption ratio exceeds a critical level, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices are more energy‐driven. Based on this strong volatility link between crude oil and corn prices, a new cross‐hedging strategy for managing corn price risk using oil futures is examined and its performance is studied. Results show that this cross‐hedging strategy provides only slightly better hedging performance compared with traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
11
2011
31
11
Journal of Futures Markets
1052
1075
http://hdl.handle.net/
Feng Wu
Zhengfei Guan
Robert J. Myers
oai:RePEc:wly:jfutmk:v:24:y:2004:i:2:p:193-2202015-03-11RePEc
article
Minimum capital requirement calculations for UK futures
Key to the imposition of appropriate minimum capital requirements on a daily basis is accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high‐frequency UK futures realizations underpinned by a continuous time framework. Squared and absolute returns are incorporated into the measurement process so as to rely on the quadratic variation of a diffusion process and be robust in the presence of fat tails. The realized volatility estimates incorporate the long memory property. The dynamics of the volatility variable are adequately captured. Resulting rescaled returns are applied to minimum capital requirement calculations. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:193–220, 2004
2
2004
24
02
Journal of Futures Markets
193
220
http://hdl.handle.net/
John Cotter
oai:RePEc:wly:jfutmk:v:4:y:1984:i:2:p:229-2302015-03-11RePEc
article
Legal notes
2
1984
4
06
Journal of Futures Markets
229
230
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:4:y:1984:i:3:p:273-2952015-03-11RePEc
article
Customer protection in futures and securities markets
3
1984
4
09
Journal of Futures Markets
273
295
http://hdl.handle.net/
Daniel R. Fischel
Sanford J. Grossman
oai:RePEc:wly:jfutmk:v:19:y:1999:i:1:p:31-582015-03-11RePEc
article
Market microstructure of FT‐SE 100 index futures: An intraday empirical analysis
This article examines the market microstructure of the FT‐SE Index futures market by analyzing the intraday patterns of bid‐ask spreads and trading activity. The patterns are remarkably different from those of stock and options markets because of the futures market's open outcry system with frenzied scalpers/short‐term marketmakers. Spreads are stable over the day, but decline sharply at the close and increase when U.S. macroeconomic news is distributed. Traders actively trade at the open with narrow spreads and large trade sizes. Volatility and volume have higher values at the open and close and when U.S. news is released. The overall results suggest that information asymmetry in the index futures market is insignificant, and traders find it easy to control inventory. The results are also broadly consistent with the Grossman and Miller (1988) model that describes liquidity as the price of transaction demand for immediacy. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 31–58, 1999
1
1999
19
02
Journal of Futures Markets
31
58
http://hdl.handle.net/
Yiuman Tse
oai:RePEc:wly:jfutmk:v:28:y:2008:i:11:p:1013-10392015-03-11RePEc
article
The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets
Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and are likely a superior measure to historical realized volatility. Implied idiosyncratic volatilities on firms with traded options are used to examine the relationship between idiosyncratic volatility and future returns. A strong positive link was found between implied idiosyncratic risk and future returns. After considering the impact of implied idiosyncratic volatility, historical realized idiosyncratic volatility is unimportant. This performance is strongly tied to small size and high book‐to‐market equity firms. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 1013–1039, 2008
11
2008
28
11
Journal of Futures Markets
1013
1039
http://hdl.handle.net/
Dean Diavatopoulos
James S. Doran
David R. Peterson
oai:RePEc:wly:jfutmk:v:21:y:2001:i:9:p:819-8322015-03-11RePEc
article
Maximum Entropy in Option Pricing: A Convex‐Spline Smoothing Method
Applying the principle of maximum entropy (PME) to infer an implied probability density from option prices is appealing from a theoretical standpoint because the resulting density will be the least prejudiced estimate, as “it will be maximally noncommittal with respect to missing or unknown information.”1 Buchen and Kelly (1996) showed that, with a set of well‐spread simulated exact‐option prices, the maximum‐entropy distribution (MED) approximates a risk‐neutral distribution to a high degree of accuracy. However, when random noise is added to the simulated option prices, the MED poorly fits the exact distribution. Motivated by the characteristic that a call price is a convex function of the option's strike price, this study suggests a simple convex‐spline procedure to reduce the impact of noise on observed option prices before inferring the MED. Numerical examples show that the convex‐spline smoothing method yields satisfactory empirical results that are consistent with prior studies. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:819–832, 2001
9
2001
21
09
Journal of Futures Markets
819
832
http://hdl.handle.net/
Weiyu Guo
oai:RePEc:wly:jfutmk:v:11:y:1991:i:4:p:399-4092015-03-11RePEc
article
Risk‐return hedging effectiveness measures for stock index futures
4
1991
11
08
Journal of Futures Markets
399
409
http://hdl.handle.net/
Mary Lindahl
oai:RePEc:wly:jfutmk:v:9:y:1989:i:4:p:355-3582015-03-11RePEc
article
Optical settlement specification on futures contracts
4
1989
9
08
Journal of Futures Markets
355
358
http://hdl.handle.net/
Da‐Hsiang Donald Lien
oai:RePEc:wly:jfutmk:v:23:y:2003:i:9:p:817-8402015-03-11RePEc
article
General equilibrium pricing of nonredundant forward contracts
We derive the general equilibrium of a dynamic financial market in which the investors' opportunity set includes nonredundant forward contracts. We show that Breeden's (1979) consumption‐based CAPM equation for forward contracts contains an extra term relative to that for cash assets. We name this term a strategy risk premium. It compensates investors for the (systematic) risk that stems from their very portfolio strategies when the latter involve nonredundant forward contracts. We also show that Merton's (1973) multibeta intertemporal CAPM must be amended for forward contracts to exhibit adjusted risk premia for the market portfolio and all relevant state variables, as opposed to the usual risk premia for cash assets. Our results are shown not to depend on the usual cash‐and‐carry relationship, which, in general, does not hold. We, nevertheless, provide a well‐known special case where it does hold, albeit not grounded on the usual no‐arbitrage argument. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:817–840, 2003
9
2003
23
09
Journal of Futures Markets
817
840
http://hdl.handle.net/
Abraham Lioui
Patrice Poncet
oai:RePEc:wly:jfutmk:v:18:y:1998:i:7:p:803-8252015-03-11RePEc
article
Asymmetric information in commodity futures markets: Theory and empirical evidence
This article examines the theoretical and empirical implications of asymmetric information in commodity futures markets. In particular, it formulates and tests a theoretical model that recognizes two distinct categories of traders: hedgers, who participate in both spot and futures markets, and speculators, who participate only in the futures market. Speculators are assumed to possess differential information about the realized values of selected random variables. Multiperiod futures market equilibria are derived under competitive conditions, and the ability of futures markets to forecast changes in equilibrium spot market prices are examined. The key variable is shown to be the randomness and informational asymmetry in the aggregate supply by participating hedgers in the spot market, whose absence turns out to be the major determinant of the revelation of informational asymmetry. Moreover, under the assumption of independence of error forecasts for prices and spot market supplies, it is shown that futures market equilibrium ends up with linear expressions for prices and futures contract volumes. These linear expressions are then used to develop empirically testable models. The main empirical implications in these models revolve around the role of the basis as a predictor of future spot price changes. The paper provides an empirical investigation of these implications, using three commodities traded on the Winnipeg Commodity Exchange (WCE). © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:803–825, 1998
7
1998
18
10
Journal of Futures Markets
803
825
http://hdl.handle.net/
Stylianos Perrakis
Nabil Khoury
oai:RePEc:wly:jfutmk:v:30:y:2010:i:4:p:378-4062015-03-11RePEc
article
The economic significance of conditional skewness in index option markets
This study examines whether conditional skewness forecasts of the underlying asset returns can be used to trade profitably in the index options market. The results indicate that a more general skewness‐based option‐pricing model can generate better trading performance for strip and strap trades. The results show that conditional skewness model forecasts, when combined with forward‐looking option implied volatilities, can significantly improve the performance of skewness‐based trades but trading costs considerably weaken the profitability of index option strategies. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:378–406, 2010
4
2010
30
04
Journal of Futures Markets
378
406
http://hdl.handle.net/
Ranjini Jha
Madhu Kalimipalli
oai:RePEc:wly:jfutmk:v:7:y:1987:i:3:p:333-3372015-03-11RePEc
article
A note on volatility and pricing of futures options during choppy markets
3
1987
7
06
Journal of Futures Markets
333
337
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:19:y:1999:i:1:p:121-1252015-03-11RePEc
article
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Reply
1
1999
19
02
Journal of Futures Markets
121
125
http://hdl.handle.net/
Dilip K. Ghosh
oai:RePEc:wly:jfutmk:v:26:y:2006:i:9:p:869-8942015-03-11RePEc
article
Nonlinear asymmetric models of the short‐term interest rate
This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well‐known models in capturing the dynamic behavior of short‐term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the level effect and stochastic volatility in the diffusion function is introduced in discrete time and tested against the popular diffusion, GARCH, and level‐GARCH models. Based on the statistical test results, the existing models are strongly rejected in favor of the newly proposed models because of the nonlinear asymmetric drift of the short rate, and the presence of nonlinearity, GARCH, and level effects in its volatility. The empirical results indicate that the nonlinear asymmetric models are better than the existing models in forecasting the future level and volatility of interest rate changes. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:869–894, 2006
9
2006
26
09
Journal of Futures Markets
869
894
http://hdl.handle.net/
K. Ozgur Demirtas
oai:RePEc:wly:jfutmk:v:19:y:1999:i:5:p:583-6022015-03-11RePEc
article
VaR without correlations for portfolios of derivative securities
We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. Our methodology takes implicitly into account assets’ correlations without restricting their values over time or computing them explicitly. VaR values for portfolios of derivative securities are obtained without linearising them. Historical simulation assigns equal probability to past returns, neglecting current market conditions. Our methodology is a refinement of historical simulation. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 583–602, 1999
5
1999
19
08
Journal of Futures Markets
583
602
http://hdl.handle.net/
Giovanni Barone‐Adesi
Kostas Giannopoulos
Les Vosper
oai:RePEc:wly:jfutmk:v:3:y:1983:i:1:p:101-1022015-03-11RePEc
article
Legal Notes
1
1983
3
03
Journal of Futures Markets
101
102
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:25:y:2005:i:12:p:1147-11722015-03-11RePEc
article
Information flows and option bid/ask spreads
This study analyzes two types of information flows in financial markets. The first type represents return information, where informed investors know whether the stock price will increase or decrease. The second type is labeled volatility information, where the direction of the stock price is unknown, but informed investors know that the stock price either will increase or decrease. Both information flows are estimated within the GARCH framework, approximated with the use of Swedish OMX stockindex and options strangle return shocks, respectively. The results show significant conditional stock‐index and options strangle variance, although with notable differences. Stock‐index return shocks exhibit a high level of variance persistence and an asymmetric initial impact to the variance. Option strangle shocks have a relatively low persistence level, but a higher and more symmetric initial impact. A time‐series regression of call and put option bid/ask spreads is performed, relating the spreads to the information flows and other explanatory variables. The results show that call and put option bid/ask spreads are related to stock‐index and options strangle return shocks, as well as the conditional stock‐index variance. This is consistent with the view that market makers alter option spreads in response to return and volatility information flows, as well as the conditional stock‐index variance.© 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1147–1172, 2005
12
2005
25
12
Journal of Futures Markets
1147
1172
http://hdl.handle.net/
Fredrik Berchtold
Lars Nordén
oai:RePEc:wly:jfutmk:v:31:y:2011:i:4:p:371-3932015-03-11RePEc
article
Maturity effects in the Mexican interest rate futures market
This study investigates the relationship between volatility and contract expiration for the case of Mexican interest rate futures. Specifically, it examines the hypothesis that the volatility of futures prices should increase as contracts approach expiration (the “maturity effect”). Using panel data techniques, the study assesses the differences in volatility patterns between contracts. The results show that although the maturity effect was sometimes present, the inverse effect prevails; volatility decreases as expiration approaches. On the basis of the premises of the negative covariance hypothesis, the study provides additional criteria that explain this behavior in terms of the term structure dynamics. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:371–393, 2011
4
2011
31
04
Journal of Futures Markets
371
393
http://hdl.handle.net/
Pedro Gurrola
Renata Herrerías
oai:RePEc:wly:jfutmk:v:2:y:1982:i:4:p:421-4282015-03-11RePEc
article
Futures bibliography
4
1982
2
12
Journal of Futures Markets
421
428
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:11:y:1991:i:6:p:737-7502015-03-11RePEc
article
Price‐risk management with options: Optimal market positions and institutional value
6
1991
11
12
Journal of Futures Markets
737
750
http://hdl.handle.net/
George W. Ladd
Steven D. Hanson
oai:RePEc:wly:jfutmk:v:20:y:2000:i:3:p:293-3062015-03-11RePEc
article
Pricing Eurodollar futures options using the BDT term structure model: The effect of yield curve smoothing
This article focuses on pricing Eurodollar futures options using the single‐factor Black, Derman, and Toy (1990) term structure model with particular emphasis on yield curve smoothing. Of the various approaches, the maximum smoothness forward rate approach developed by Adams and van Deventer (1994), cubic yield spline, and linear interpolation are used to produce finely spaced binomial trees. We compare the pricing accuracy associated with the use of yield curve smoothing techniques within the BDT framework. The findings provide the first supporting evidence that using a forward rate curve with maximum smoothness together with a time‐varying volatility structure improves best the performance of the BDT model. The empirical results are found to be robust across factors affecting the option price such as time‐to‐expiration, moneyness, and trading volume. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:293–306, 2000
3
2000
20
03
Journal of Futures Markets
293
306
http://hdl.handle.net/
Turin G. Bali
Ahmet K. Karagozoglu
oai:RePEc:wly:jfutmk:v:10:y:1990:i:4:p:407-4232015-03-11RePEc
article
International trading/nontrading time effects on risk estimation in futures markets
4
1990
10
08
Journal of Futures Markets
407
423
http://hdl.handle.net/
Joanne Hill
Thomas Schneeweis
Jot Yau
oai:RePEc:wly:jfutmk:v:29:y:2009:i:6:p:544-5622015-03-11RePEc
article
Box‐spread arbitrage efficiency of Nifty index options: The Indian evidence
This study examines the market efficiency for the European style Nifty index options using the box‐spread strategy. Time‐stamped transactions data are used to identify the mispricing and arbitrage opportunities for options with this modelfree approach. Profit opportunities, after accounting for the transaction costs, are quite frequent, but do not persist even for two minutes. The mispricing is higher for the contracts with higher liquidity (immediacy) risk captured by the moneyness (the difference between the strike prices and the spot price) and the volatility of the underlying. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:544–562, 2009
6
2009
29
06
Journal of Futures Markets
544
562
http://hdl.handle.net/
Vipul
oai:RePEc:wly:jfutmk:v:17:y:1997:i:2:p:191-2142015-03-11RePEc
article
Risk premia in the ruble/dollar futures market
2
1997
17
04
Journal of Futures Markets
191
214
http://hdl.handle.net/
Anatoly Peresetsky
Frans de Roon
oai:RePEc:wly:jfutmk:v:5:y:1985:i:2:p:259-2722015-03-11RePEc
article
An examination of the distribution of futures price changes
2
1985
5
06
Journal of Futures Markets
259
272
http://hdl.handle.net/
Billy P. Helms
Terrence F. Martell
oai:RePEc:wly:jfutmk:v:24:y:2004:i:8:p:785-8042015-03-11RePEc
article
Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange
This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non‐local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the Sydney Futures Exchange (SFE) during a period when open outcry trading was used on both exchanges. We examine these two execution channels for the CBOT's U.S. Treasury bond contract and the SFE's three‐year bonds, ten‐year bonds, ninety‐day bankers' accepted bills, and stock index contracts. For each of the futures contracts, the trade price series of local and non‐local traders are cointegrated. VAR analysis reveals lag structures eight to fifteen trades long in the dynamic adjustment of equilibrium prices in these markets, but time spans of only one to three seconds within synchronous trades. We find evidence of multilateral price discovery by the two execution channels for each of the five contracts. Locals account for 44 to 73% of the price discovery in the four SFE contracts and for 58% of the price discovery in the CBOT's T‐bond contract. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:785–804, 2004
8
2004
24
08
Journal of Futures Markets
785
804
http://hdl.handle.net/
Alex Frino
Frederick H. deB. Harris
Thomas H. McInish
Michael J. Tomas III
oai:RePEc:wly:jfutmk:v:20:y:2000:i:5:p:405-4242015-03-11RePEc
article
Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market
The informational efficiency of the market for options on the German stock index DAX is examined using intraday transactions data. Problems of previous studies on options‐market efficiency, arising from dividend estimation and the early‐exercise effect, are avoided, because the DAX is a performance index and DAX options are European options. Ex‐post and ex‐ante tests are carried out to simulate trading strategies that exploit irrational lower‐boundary violations of observed option prices. Because the lower‐boundary conditions are solely based on arbitrage considerations, the test results do not depend on the assumption that investors use a particular option‐pricing model. The investigation shows that ex‐post profits are, in general, dramatically reduced when the execution of arbitrage strategies is delayed and/or transaction costs are accounted for. However, arbitrage restrictions, which rely on short selling of the component stocks of the index, tend to be violated more often and with higher persistence. An analysis of consecutive subsamples suggests that, over time, traders have been subjected to a learning process when pricing this relatively new instrument. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 405–424, 2000
5
2000
20
05
Journal of Futures Markets
405
424
http://hdl.handle.net/
Stefan Mittnik
Sascha Rieken
oai:RePEc:wly:jfutmk:v:20:y:2000:i:7:p:687-7042015-03-11RePEc
article
Transactions data tests of efficiency: An investigation in the Singapore futures markets
The aim of this article is to test the profitability of technical trading rules in the intra‐day currency futures market. A wide range of technical strategies are applied to tick data over a two‐year period for two currency futures—Japanese Yen (JY) and Deutschemark (DM)—traded in the Singapore International Monetary Exchange. The study finds that after incorporating transactions costs and testing for the significance of the profits using a bootstrap methodology, none of the technical trading systems produce significant returns. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:687–704, 2000
7
2000
20
08
Journal of Futures Markets
687
704
http://hdl.handle.net/
Mahendra Raj
oai:RePEc:wly:jfutmk:v:1:y:1981:i:4:p:619-6472015-03-11RePEc
article
Silver price volatility: A perspective on the july 1979‐april 1980 period
4
1981
1
12
Journal of Futures Markets
619
647
http://hdl.handle.net/
Theodore M. Barnhill
James A. Powell
oai:RePEc:wly:jfutmk:v:31:y:2011:i:8:p:755-7782015-03-11RePEc
article
Open interest, cross listing, and information shocks
This study examines the characteristics and behavior of the demand for hedging, proxied by open interest, for the cross‐listed Euribor futures contract traded at Euronext‐LIFFE and Eurex. The study is unique in its investigation of the simultaneous determinants of open interest in a cross‐listed setting. It also assesses the impact of shocks on traders' demand for hedging and shows how the 9/11 terrorist attacks and the credit crunch influence the level of dependency between Euronext‐LIFFE and Eurex. Differences of opinion, ECB Governing Council meetings, days of the week, contract maturity, illiquidity, and volatility are investigated as potential determinants of open interest. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:755–778, 2011
8
2011
31
08
Journal of Futures Markets
755
778
http://hdl.handle.net/
Samir Aguenaou
Owain Ap Gwilym
Mark Rhodes
oai:RePEc:wly:jfutmk:v:22:y:2002:i:3:p:197-2182015-03-11RePEc
article
The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship
This paper examines the impact of the introduction of the Nasdaq‐100 Index Tracking Stock (referred to as Cubes) on the pricing relationship between Nasdaq‐100 futures and the underlying index. Observations obtained from tick‐by‐tick Nasdaq‐100 futures transactions and index value data support the hypothesis that the introduction of Cubes in March 1999 has led to improvements in the Nasdaq‐100 index futures pricing efficiency. Both the size and frequency of violations in futures price boundaries appear to be reduced. Furthermore, there appears to be an increase in the speed of the market response to observed violations. These results are attributed to the increased ease in establishing a spot Nasdaq‐100 index position after the introduction of the tracking stock. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 197–218, 2002
3
2002
22
03
Journal of Futures Markets
197
218
http://hdl.handle.net/
Alexander A. Kurov
Dennis J. Lasser
oai:RePEc:wly:jfutmk:v:7:y:1987:i:2:p:203-2212015-03-11RePEc
article
Futures trading and oil market conditions
2
1987
7
04
Journal of Futures Markets
203
221
http://hdl.handle.net/
Douglas R. Bohi
Michael A. Toman
oai:RePEc:wly:jfutmk:v:12:y:1992:i:1:p:55-592015-03-11RePEc
article
Hedge ratios under inherent risk reduction in a commodity complex: An interpretation
1
1992
12
02
Journal of Futures Markets
55
59
http://hdl.handle.net/
Jacques A. Schnabel
oai:RePEc:wly:jfutmk:v:3:y:1983:i:2:p:227-2292015-03-11RePEc
article
Legal notes
2
1983
3
06
Journal of Futures Markets
227
229
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:27:y:2007:i:2:p:127-1502015-03-11RePEc
article
An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
In this article, optimal hedge ratios are estimated for different hedging horizons for 23 different futures contracts using wavelet analysis. The wavelet analysis is chosen to avoid the sample reduction problem faced by the conventional methods when applied to non‐overlapping return series. Hedging performance comparisons between the wavelet hedge ratio and error‐correction (EC) hedge ratio indicate that the latter performs better for more contracts for shorter hedging horizons. However, the performance of the wavelet hedge ratio improves with the increase in the length of the hedging horizon. This is true for both within‐sample and out‐of‐sample cases. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:127–150, 2007
2
2007
27
02
Journal of Futures Markets
127
150
http://hdl.handle.net/
Donald Lien
Keshab Shrestha
oai:RePEc:wly:jfutmk:v:5:y:1985:i:2:p:183-1992015-03-11RePEc
article
Hedging with stock index futures: Theory and application in a new market
2
1985
5
06
Journal of Futures Markets
183
199
http://hdl.handle.net/
Stephen Figlewski
oai:RePEc:wly:jfutmk:v:27:y:2007:i:5:p:471-4942015-03-11RePEc
article
Hedging under the influence of transaction costs: An empirical investigation on FTSE 100 index options
The Black–Scholes (BS; F. Black & M. Scholes, 1973) option pricing model, and modern parametric option pricing models in general, assume that a single unique price for the underlying instrument exists, and that it is the mid‐ (the average of the ask and the bid) price. In this article the authors consider the Financial Times and London Stock Exchange (FTSE) 100 Index Options for the time period 1992–1997. They estimate the ask and bid prices for the index, and show that, when substituted for the mid‐price in the BS formula, they provide superior option price predictors, for call and put options, respectively. This result is reinforced further when they .t a non‐parametric neural network model to market prices of liquid options. The empirical .ndings in this article suggest that the ask and bid prices of the underlying asset provide a superior fit to the mid/closing price because they include market maker's, compensation for providing liquidity in the market for constituent stocks of the FTSE 100 index. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:471–494, 2007
5
2007
27
05
Journal of Futures Markets
471
494
http://hdl.handle.net/
Andros Gregoriou
Jerome Healy
Christos Ioannidis
oai:RePEc:wly:jfutmk:v:1:y:1981:i:4:p:607-6182015-03-11RePEc
article
Financial futures, bank portfolio risk, and accounting
4
1981
1
12
Journal of Futures Markets
607
618
http://hdl.handle.net/
Michael R. Asay
Gisela A. Gonzalez
Benjamin Wolkowitz
oai:RePEc:wly:jfutmk:v:29:y:2009:i:5:p:397-4132015-03-11RePEc
article
A new scheme for static hedging of European derivatives under stochastic volatility models
This study proposes a new scheme for static hedging of European path‐independent derivatives under stochastic volatility models. First, we show that pricing European path‐independent derivatives under stochastic volatility models is transformed to pricing those under one‐factor local volatility models. Next, applying an efficient static replication method for one‐dimensional price processes developed by Takahashi and Yamazaki (2008), we present a static hedging scheme for European path‐independent derivatives. Finally, a numerical example comparing our method with a dynamic hedging method under Heston's (1993) stochastic volatility model is used to demonstrate that our hedging scheme is effective in practice. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:397–413, 2009
5
2009
29
05
Journal of Futures Markets
397
413
http://hdl.handle.net/
Akihiko Takahashi
Akira Yamazaki
oai:RePEc:wly:jfutmk:v:8:y:1988:i:1:p:1-132015-03-11RePEc
article
Similarity of computer guided technical trading systems
1
1988
8
02
Journal of Futures Markets
1
13
http://hdl.handle.net/
Louis P. Lukac
B. Wade Brorsen
Scott H. Irwin
oai:RePEc:wly:jfutmk:v:12:y:1992:i:6:p:635-6432015-03-11RePEc
article
Do futures markets react efficiently to predictable errors in Government Announcements?
6
1992
12
12
Journal of Futures Markets
635
643
http://hdl.handle.net/
David E. Runkle
oai:RePEc:wly:jfutmk:v:8:y:1988:i:3:p:291-3022015-03-11RePEc
article
On the possible tax‐driven arbitrage opportunities in the new municipal bond futures contract
3
1988
8
06
Journal of Futures Markets
291
302
http://hdl.handle.net/
Hal Heaton
oai:RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1091-10912015-03-11RePEc
article
Editor's note
11
2004
24
11
Journal of Futures Markets
1091
1091
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:31:y:2011:i:6:p:503-5332015-03-11RePEc
article
Why do expiring futures and cash prices diverge for grain markets?
In recent years, cash and futures prices have failed to converge at expiration for selected corn, soybean, and wheat commodity contracts. This lack of convergence raises questions about the effectiveness of arbitrage activities, and increases concerns about the usefulness of these contracts for hedging. We describe the delivery process for these contracts, and show that it embeds a valuable real option on the long side—the option to exchange the deliverable for another futures contract. As the relative volatility of cash and futures prices increases, this option increases in value, which disconnects the cash market from the deliverable instrument in a futures contract. Our estimates of this option's value show that it may create significant price divergence. We parameterize an option pricing model using data on these three commodities from 2000 to 2008 and show that the option model fits closely to recent episodes of non‐convergence, which lends support to the importance of real option effects. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark Hedging works primarily because changes in futures prices generally track with changes in cash prices. The delivery process forges the cash‐futures link. So strong is that link that the futures price equals the cash price at expiration at the futures delivery location. —Chicago Board of Trade Handbook of Futures and Options ( 2006 )
6
2011
31
06
Journal of Futures Markets
503
533
http://hdl.handle.net/
Nicole M. Aulerich
Raymond P. H. Fishe
Jeffrey H. Harris
oai:RePEc:wly:jfutmk:v:9:y:1989:i:1:p:67-752015-03-11RePEc
article
Optimal cross‐hedge portfolios for hedging stock index options
1
1989
9
02
Journal of Futures Markets
67
75
http://hdl.handle.net/
Michael J. Alderson
Terry L. Zivney
oai:RePEc:wly:jfutmk:v:24:y:2004:i:7:p:631-6482015-03-11RePEc
article
Pricing credit spread options under a Markov chain model with stochastic default rate
This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, which affect credit ratings. Second, our model allows both continuous and discrete movements in credit spreads, even when there exist no changes in credit ratings. Under these assumptions, we provide a valuation formula for a credit spread option, and examine its effects. This paper suggests a parsimonious model. As in J. Wei ( 2003 ), we find that rating‐specific factors are important. Also, discrete movements seem to play a larger role depending on the firm's credit rating. Finally, we show that a model, like the Kodera model, that uses only a common factor without allowing for discrete movements, may overprice credit spread put options. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:631–648, 2004
7
2004
24
07
Journal of Futures Markets
631
648
http://hdl.handle.net/
Jangkoo Kang
Hwa‐Sung Kim
oai:RePEc:wly:jfutmk:v:20:y:2000:i:6:p:507-5232015-03-11RePEc
article
Bernoulli speculator and trading strategy risk
In a continuous‐time model of a complete information economy, we examine the case of a “pure” speculator who chooses to trade only on forward or futures contracts written on interest‐rate‐sensitive instruments. Assuming logarithmic utility, we assess whether his strategy exhibits the same structure as when he uses primitive assets only. It turns out that when interest rates follow stochastic processes, as in the model of Heath, Jarrow, and Morton (1992), where the instantaneous forward rate is driven by an arbitrary number of factors, the speculative trading strategy involving forwards exhibits an extra term vis‐a‐vis the one using futures or primitive assets. This extra term, different from a Merton–Breeden dynamic hedge, is novel and can be interpreted as a hedge against an “endogenous risk,” namely the interest‐rate risk brought about by the optimal trading strategy itself. Thus, only the strategy using futures (or the cash assets themselves) involves a single speculative term, even for the Bernoulli speculator. This result illustrates another major aspect of the marking to market feature that differentiates futures and forwards, and thus has some bearing on the issue of the optimal design of financial contracts. Real financial markets being, in fact, incomplete, the additional “endogenous” risk associated with forwards cannot be hedged perfectly. Since using futures eliminates the latter, risk‐averse agents will find them attractive in relation to forward contracts, other things being equal. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 507–523, 2000
6
2000
20
07
Journal of Futures Markets
507
523
http://hdl.handle.net/
Abraham Lioui
Patrice Poncet
oai:RePEc:wly:jfutmk:v:9:y:1989:i:5:p:449-4592015-03-11RePEc
article
An analysis of index option pricing
5
1989
9
10
Journal of Futures Markets
449
459
http://hdl.handle.net/
John S. Cotner
James F. Horrell
oai:RePEc:wly:jfutmk:v:9:y:1989:i:3:p:237-2482015-03-11RePEc
article
Cash settlement issues for live cattle futures contracts
3
1989
9
06
Journal of Futures Markets
237
248
http://hdl.handle.net/
Kandice H. Kahl
Michael A. Hudson
Clement E. Ward
oai:RePEc:wly:jfutmk:v:26:y:2006:i:7:p:657-6762015-03-11RePEc
article
Updating the estimation of the supply of storage
An updated supply of storage is estimated to reflect recent developments in the literature. This study adds a measure of price variability, specifically implied volatility. It also adds a measure of the call‐option value to sell stocks before the end of the storage period, specifically a measure developed by Heaney (2002). The model is estimated for U.S. soybean stocks carried between crop years. A quadratic relationship is found between stocks to use ratio and implied volatility. A statistically significant, inverse, linear relationship is found between the storage‐cost–adjusted spread and the estimated call‐option value. This finding is consistent with the much debated idea that convenience yield is a return to storage that can offset losses from storage when intertemporal price spreads are negative. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:657–676, 2006
7
2006
26
07
Journal of Futures Markets
657
676
http://hdl.handle.net/
Carl R. Zulauf
Haijiang Zhou
Matthew C. Roberts
oai:RePEc:wly:jfutmk:v:25:y:2005:i:4:p:339-3732015-03-11RePEc
article
The forecast quality of CBOE implied volatility indexes
We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE volatility index data since 1995. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:339–373, 2005
4
2005
25
04
Journal of Futures Markets
339
373
http://hdl.handle.net/
Charles J. Corrado
Thomas W. Miller, Jr.
oai:RePEc:wly:jfutmk:v:1:y:1981:i:3:p:291-3012015-03-11RePEc
article
Cash settlement for futures contracts based on common stock indices: An economic and legal perspective
3
1981
1
09
Journal of Futures Markets
291
301
http://hdl.handle.net/
Terrence F. Martell
Jerrold E. Salzman
oai:RePEc:wly:jfutmk:v:18:y:1998:i:4:p:467-4852015-03-11RePEc
article
The bid‐ask spread on stock index options: An ordered probit analysis
4
1998
18
06
Journal of Futures Markets
467
485
http://hdl.handle.net/
Owain Ap. Gwilym
Andrew Clare
Stephen Thomas
oai:RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-10282015-03-11RePEc
article
Hedge Fund Performance and Manager Skill
Using data on the monthly returns of hedge funds during the period January 1990 to August 1998, we estimate six‐factor Jensen alphas for individual hedge funds, employing eight different investment styles. We find that about 25% of the hedge funds earn positive excess returns and that the frequency and magnitude of funds' excess returns differ markedly with investment style. Using six‐factor alphas as a measure of performance, we also analyze performance persistence over 1‐year and 2‐year horizons and find evidence of significant persistence among both winners and losers. These findings, together with our finding that hedge funds that pay managers higher incentive fees also have higher excess returns, are consistent with the view that fund manager skill may be a partial explanation for the positive excess returns earned by hedge funds. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1003–1028, 2001
11
2001
21
11
Journal of Futures Markets
1003
1028
http://hdl.handle.net/
Franklin R. Edwards
Mustafa Onur Caglayan
oai:RePEc:wly:jfutmk:v:11:y:1991:i:1:p:113-1152015-03-11RePEc
article
The relationship between forward and futures contracts: A comment
1
1991
11
02
Journal of Futures Markets
113
115
http://hdl.handle.net/
Bjorn Flesaker
oai:RePEc:wly:jfutmk:v:6:y:1986:i:2:p:289-3052015-03-11RePEc
article
Hedging effectiveness of currency options and currency futures
2
1986
6
06
Journal of Futures Markets
289
305
http://hdl.handle.net/
Jack S. K. Chang
Latha Shanker
oai:RePEc:wly:jfutmk:v:13:y:1993:i:1:p:1-132015-03-11RePEc
article
Empirical tests of valuation models for options on t‐note and t‐bond futures
1
1993
13
02
Journal of Futures Markets
1
13
http://hdl.handle.net/
Nusret Cakici
Sris Chatterjee
Avner Wolf
oai:RePEc:wly:jfutmk:v:24:y:2004:i:2:p:147-1782015-03-11RePEc
article
Distributions implied by American currency futures options: A ghost's smile?
A new and easily applicable method for estimating risk‐neutral distributions (RND) implied by American futures options is proposed. It amounts to inverting the Barone‐Adesi and Whaley method (BAW method) to get the BAW implied volatility smile. Extensive empirical tests show that the BAW smile is equivalent to the volatility smile implied by corresponding European options. Therefore, the procedure leads to a legitimate RND estimation method. Further, the investigation of the currency options traded on the Chicago Mercantile Exchange and OTC markets in parallel provides us with insights on the structure and interaction of the two markets. Unequally distributed liquidity in the OTC market seems to lead to price distortions and an ensuing interesting “ghost‐like” shape of the RND density implied by CME options. Finally, using the empirical results, we propose a parsimonious generalization of the existing methods for estimating volatility smiles from OTC options. A single free parameter significantly improves the fit. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:147–178, 2004
2
2004
24
02
Journal of Futures Markets
147
178
http://hdl.handle.net/
Martin Cincibuch
oai:RePEc:wly:jfutmk:v:18:y:1998:i:5:p:563-5792015-03-11RePEc
article
Is after‐hours trading informative?
5
1998
18
08
Journal of Futures Markets
563
579
http://hdl.handle.net/
Carlos A. Ulibarri
oai:RePEc:wly:jfutmk:v:16:y:1996:i:8:p:943-9682015-03-11RePEc
article
Regulatory competition and the efficiency of alternative derivative product margining systems
8
1996
16
12
Journal of Futures Markets
943
968
http://hdl.handle.net/
Paul H. Kupiec
A. Patricia White
oai:RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-412015-03-11RePEc
article
The information content of an open limit‐order book
Using data from the Australian Stock Exchange, the authors assess the information content of an open limit‐order book with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. The authors find that the order book is moderately informative—its contribution to price discovery is approximately 22%. The remaining 78% is from the best bid and offer prices on the book and the last transaction price. Furthermore, the authors find that order imbalances between the demand and supply schedules along the book are significantly related to future short‐term returns, even after controlling for the autocorrelations in return, the inside spread, and the trade imbalance. ©2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:16–41, 2009
1
2009
29
01
Journal of Futures Markets
16
41
http://hdl.handle.net/
Charles Cao
Oliver Hansch
Xiaoxin Wang
oai:RePEc:wly:jfutmk:v:15:y:1995:i:5:p:507-5362015-03-11RePEc
article
A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
5
1995
15
08
Journal of Futures Markets
507
536
http://hdl.handle.net/
John M. Geppert
oai:RePEc:wly:jfutmk:v:1:y:1981:i:3:p:405-4112015-03-11RePEc
article
The futures market: Liquidity and the technique of spreading
3
1981
1
09
Journal of Futures Markets
405
411
http://hdl.handle.net/
Leo Melamed
oai:RePEc:wly:jfutmk:v:14:y:1994:i:6:p:661-6842015-03-11RePEc
article
Should actively traded futures contracts come under the dual‐trading ban?
6
1994
14
09
Journal of Futures Markets
661
684
http://hdl.handle.net/
Sugato Chakravarty
oai:RePEc:wly:jfutmk:v:21:y:2001:i:4:p:377-3912015-03-11RePEc
article
Predicting monetary policy with federal funds futures prices
In theory, prices of current‐month federal funds futures contracts should reflect market expectations of near‐term movements in the federal funds rate and thus the Federal Reserve's funds rate target. This article shows that futures‐based proxies for funds rate expectations have weak predictive power for the average funds rate using daily data but are more successful in predicting the average funds rate and the funds rate target around target changes and meetings of the Federal Open Market Committee. However, the futures‐based expectations have a systematic bias related to the last days of the month and, in particular, calendar months. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:377–391, 2001
4
2001
21
04
Journal of Futures Markets
377
391
http://hdl.handle.net/
Ulf Söderström
oai:RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-11462015-03-11RePEc
article
Informed trading in the index option market: The case of KOSPI 200 options
This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐selection cost component of the spread estimated by the model is then used as a proxy for the degree of informed trading. We find that adverse‐selection costs constitute a nontrivial portion of the transaction costs in index options trading. Approximately one‐third of the spread can be accounted for by information asymmetry costs. A further analysis indicates that adverse‐selection costs are positively related with option delta. Our regression analysis shows that option‐related variables are significantly associated with estimated information asymmetry costs, even when controlling for proxies for informed trading in the index futures market. Finally, we find the evidence that foreign investors are better informed compared to domestic investors and that domestic institutions have an edge in terms of information over domestic individuals. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1118–1146, 2008
12
2008
28
12
Journal of Futures Markets
1118
1146
http://hdl.handle.net/
Hee‐Joon Ahn
Jangkoo Kang
Doojin Ryu
oai:RePEc:wly:jfutmk:v:25:y:2005:i:11:p:1093-11202015-03-11RePEc
article
Consistent calibration of HJM models to cap implied volatilities
This article proposes a calibration algorithm that fits multifactor Gaussian models to the implied volatilities of caps with the use of the respective minimal consistent family to infer the forward‐rate curve. The algorithm is applied to three forward‐rate volatility structures and their combination to form two‐factor models. The efficiency of the consistent calibration is evaluated through comparisons with nonconsistent methods. The selection of the number of factors and of the volatility functions is supported by a principal‐component analysis. Models are evaluated in terms of in‐sample and out‐of‐sample data fitting as well as stability of parameter estimates. The results are analyzed mainly by focusing on the capability of fitting the market‐implied volatility curve and, in particular, reproducing its characteristic humped shape. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1093–1120, 2005
11
2005
25
11
Journal of Futures Markets
1093
1120
http://hdl.handle.net/
Flavio Angelini
Stefano Herzel
oai:RePEc:wly:jfutmk:v:23:y:2003:i:8:p:773-7972015-03-11RePEc
article
Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options
Both the UK spot and futures markets in short‐term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore, these announcements should also affect the market for options on short‐term interest rate futures. Because the repo rate and RPI announcements are scheduled, the options market can predict the days on which announcement shocks may hit, and build this information into its volatility expectations. It is argued that the volatility used in pricing options should alter over time in a predictable nonlinear manner that varies with contract maturity and the number of forthcoming announcements; but is independent of announcement content. The empirical results support this hypothesis. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:773–797, 2003
8
2003
23
08
Journal of Futures Markets
773
797
http://hdl.handle.net/
Peng Sun
Charles Sutcliffe
oai:RePEc:wly:jfutmk:v:9:y:1989:i:3:p:225-2362015-03-11RePEc
article
Liquidity costs and scalping returns in the corn futures market
3
1989
9
06
Journal of Futures Markets
225
236
http://hdl.handle.net/
B. Wade Brorsen
oai:RePEc:wly:jfutmk:v:24:y:2004:i:6:p:591-6082015-03-11RePEc
article
Do futures‐based strategies enhance dynamic portfolio insurance?
In this paper we investigate the relative performance of two approaches to dynamic portfolio insurance: the synthetic put and the Constant Proportion Portfolio Insurance (CPPI). The investigation is conducted on the Australian market, over a sample period of 59 non‐overlapping quarters from December 1987 to December 2002. Its main contribution is to provide a comprehensive assessment of the two approaches under different market conditions, and the testing of ex ante information as an input into the trading program. The major finding is that the futures‐based implementation of both synthetic put and the CPPI approach is robust to both tranquil and turbulent market conditions in preserving the desired floor. The fact that this conclusion includes the case of employing implied volatility (obtained from the options market) is highly encouraging as it suggests high implementability of the strategy. Notably, the risk‐return tradeoff shows that portfolio insurance using this volatility measure yields a return that is 64 basis points over the risk free investment. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:591–608, 2004
6
2004
24
06
Journal of Futures Markets
591
608
http://hdl.handle.net/
Binh Huu Do
Robert W. Faff
oai:RePEc:wly:jfutmk:v:24:y:2004:i:3:p:283-3132015-03-11RePEc
article
Natural gas prices and the gas storage report: Public news and volatility in energy futures markets
This study examines the short‐term volatility of natural gas prices through an examination of the intraday prices of the nearby natural gas futures contract traded on the New York Mercantile Exchange. The influence on volatility of what many regard as a key element of the information set influencing the natural gas market is investigated. Specifically, we examine the impact on natural gas futures price volatility of the Weekly American Gas Storage Survey report compiled and issued by the American Gas Association during the period January 1, 1999 through May 3, 2002 and the subsequent weekly report compiled and issued by the U.S. Energy Information Administration after May 6, 2002. We find that the weekly gas storage report announcement was responsible for considerable volatility at the time of its release and that volatility up to 30 minutes following the announcement was also higher than normal. Aside from these results, we document pronounced price volatility in this market both at the beginning of the day and at the end of the day and offer explanations for such behavior. Our results are robust to the manner in which the mean percentage change in the futures price is estimated and to correlation of these changes both within the day and across days. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:283–313, 2004
3
2004
24
03
Journal of Futures Markets
283
313
http://hdl.handle.net/
Scott C. Linn
Zhen Zhu
oai:RePEc:wly:jfutmk:v:21:y:2001:i:8:p:693-7122015-03-11RePEc
article
The Demand for Hedging with Futures and Options
The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is nonzero. Futures and options are treated as substitute goods, and the properties of the resulting hedging demand system are explained. The overall optimal hedge ratio is shown to increase when the marginal cost of trading options is reduced. The overall optimal hedge ratio is shown to decrease when the marginal cost of trading futures is decreased. One implication is that hedging demand can be stimulated by a reduction in the perceived cost of trading options through the education of hedgers about options and the initiation of programs such as the Dairy Options Pilot Program. The demand approach is applied to estimate optimal hedge ratios for dairy producers hedging corn inputs in five regions of Pennsylvania. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:693–712, 2001
8
2001
21
08
Journal of Futures Markets
693
712
http://hdl.handle.net/
Darren L. Frechette
oai:RePEc:wly:jfutmk:v:12:y:1992:i:4:p:489-4902015-03-11RePEc
article
Futures bibliography
4
1992
12
08
Journal of Futures Markets
489
490
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:16:y:1996:i:2:p:201-2092015-03-11RePEc
article
A graphical note on European put thetas
2
1996
16
04
Journal of Futures Markets
201
209
http://hdl.handle.net/
Gordon J. Alexander
Michael Stutzer
oai:RePEc:wly:jfutmk:v:23:y:2003:i:5:p:455-4862015-03-11RePEc
article
Bid‐ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts
We investigate intraday bid‐ask spreads (BAS), volatility, and trading activity of thinly traded equity index futures contracts on the Singapore Exchange. Contrary to previous findings, we find a rather flat BAS pattern during the trading day. However, consistent with past findings, an increase in risk widens the spread and a higher trading activity reduces it. When trading occurs in a day, spreads are reduced. No significant difference in volatility between days with and without trades was detected. When trades occur, quote revisions increase, and it is positively related to the number of trades. An increase in the number of quote revisions increases the likelihood of a transaction, and when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that contracts that are thinly traded may possess liquidity attributes as long as their price quotes remain current. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:455–486, 2003
5
2003
23
05
Journal of Futures Markets
455
486
http://hdl.handle.net/
David K. Ding
Charlie Charoenwong
oai:RePEc:wly:jfutmk:v:10:y:1990:i:6:p:605-6102015-03-11RePEc
article
Price forecasts and interest rate forecasts: An extension of levy's hypothesis
6
1990
10
12
Journal of Futures Markets
605
610
http://hdl.handle.net/
Lloyd P. Blenman
oai:RePEc:wly:jfutmk:v:17:y:1997:i:7:p:797-8152015-03-11RePEc
article
The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets
7
1997
17
10
Journal of Futures Markets
797
815
http://hdl.handle.net/
Joseph K. W. Fung
Louis T. W. Cheng
Kam C. Chan
oai:RePEc:wly:jfutmk:v:6:y:1986:i:1:p:71-812015-03-11RePEc
article
The hedging performance of the CD futures market
1
1986
6
03
Journal of Futures Markets
71
81
http://hdl.handle.net/
James A. Overdahl
Dennis R. Starleaf
oai:RePEc:wly:jfutmk:v:12:y:1992:i:1:p:75-912015-03-11RePEc
article
Is normal backwardation normal?
1
1992
12
02
Journal of Futures Markets
75
91
http://hdl.handle.net/
Robert W. Kolb
oai:RePEc:wly:jfutmk:v:19:y:1999:i:3:p:353-3762015-03-11RePEc
article
The forward pricing function of the shipping freight futures market
This article investigates the unbiasedness hypothesis of futures prices in the freight futures market. Being the only market whose underlying asset is a service, it sets it apart from other markets investigated so far in the literature. Cointegration techniques, employed to examine this hypothesis, indicate that futures prices one and two months before maturity are unbiased forecasts of the realized spot prices, whereas a bias exists in the three‐months futures prices. This mixed evidence is in agreement with studies in other markets and suggests that the acceptance or rejection of unbiasedness depends on the idiosyncrasies of the market under investigation and on the time to maturity of the contract. Despite the existence of a bias in the three‐months prices, futures prices for all maturities are found to provide forecasts of the realized spot prices that are superior to forecasts generated from error correction, ARIMA, exponential smoothing, and random walk models. Hence it appears that users of the BIFFEX market receive accurate signals from the futures prices (regarding the future course of cash prices) and can use the information generated by these prices to guide their physical market decisions. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 353–376, 1999
3
1999
19
05
Journal of Futures Markets
353
376
http://hdl.handle.net/
Manolis G. Kavussanos
Nikos K. Nomikos
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:921-9322015-03-11RePEc
article
An examination of cointegration relations between futures and local grain markets
8
1993
13
12
Journal of Futures Markets
921
932
http://hdl.handle.net/
T. Randall Fortenbery
Hector O. Zapata
oai:RePEc:wly:jfutmk:v:29:y:2009:i:9:p:826-8392015-03-11RePEc
article
Trinomial or binomial: Accelerating American put option price on trees
We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier study, under 20 different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third‐order moment‐matching tree with truncation, Richardson extrapolation, and smoothing, performs better than the trinomial trees. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:826–839, 2009
9
2009
29
09
Journal of Futures Markets
826
839
http://hdl.handle.net/
Jiun Hong Chan
Mark Joshi
Robert Tang
Chao Yang
oai:RePEc:wly:jfutmk:v:25:y:2005:i:6:p:553-5852015-03-11RePEc
article
Intradaily periodicity and volatility spillovers between international stock index futures markets
This paper examines short‐run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahighfrequency futures data are employed—which have a number of advantages over the low‐frequency spot data commonly used in previous studies—in establishing that volatility spillovers are in fact bidirectional. The generalized autoregressive conditionally heteroskedastic model (GARCH) is employed to estimate the mean and volatility spillovers of intraday returns. A Fourier flexible function is utilized to filter the intradaily periodic patterns that induce serial correlation in return volatility. It was found that estimates of volatility persistence and speed of information transmission are seriously affected by intradaily periodicity. The bias in parameter estimation is removed by filtering out the intradaily periodic component of the transaction data. Contrary to previous findings, there is evidence of spillovers in volatility between the U.S. and U.K. markets. Results indicate that the volatility of the U.S. market is affected by the most recent volatility surprise in the U.K. market. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:553–585, 2005
6
2005
25
06
Journal of Futures Markets
553
585
http://hdl.handle.net/
Chunchi Wu
Jinliang Li
Wei Zhang
oai:RePEc:wly:jfutmk:v:24:y:2004:i:7:p:609-6292015-03-11RePEc
article
Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases
The intraday response of T‐bond futures prices to surprises in headline figures of U.S. macroeconomic reports is investigated. Analyzing the time series properties and the information content of the macroeconomic news flow, the answer to the question, “What determines the relative price impact of releases?” is sought. Several types of information regarding inflation and economic strength are distinguished and the explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:609–629, 2004
7
2004
24
07
Journal of Futures Markets
609
629
http://hdl.handle.net/
Dieter Hess
oai:RePEc:wly:jfutmk:v:18:y:1998:i:7:p:827-8492015-03-11RePEc
article
The exchange rate crisis of September 1992 and the pricing of Italian financial futures
The futures contracts on long term bonds issued by the Italian Treasury and the futures contracts on Eurolira deposits traded in the LIFFE have reacted in a specular way to the exchange rate crisis of September 1992. The pricing of the Italian Government Bonds (BTP) futures becomes more volatile and seems to be affected by a time‐varying risk premium. The pricing of Eurolira futures becomes more efficient after the crisis and its volatility declines. These results indicate that the credibility crisis of the Italian Government bonds does not spill over to the off‐shore Eurolira assets. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:827–849, 1998
7
1998
18
10
Journal of Futures Markets
827
849
http://hdl.handle.net/
Giulio Cifarelli
oai:RePEc:wly:jfutmk:v:26:y:2006:i:1:p:1-312015-03-11RePEc
article
Volatility options: Hedging effectiveness, pricing, and model error
Motivated by the growing literature on volatility options and their imminent introduction in major exchanges, this article addresses two issues. First, the question of whether volatility options are superior to standard options in terms of hedging volatility risk is examined. Second, the comparative pricing and hedging performance of various volatility option pricing models in the presence of model error is investigated. Monte Carlo simulations within a stochastic volatility setup are employed to address these questions. Alternative dynamic hedging schemes are compared, and various option‐pricing models are considered. It is found that volatility options are not better hedging instruments than plain‐vanilla options. Furthermore, the most naïve volatility option‐pricing model can be reliably used for pricing and hedging purposes. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1–31, 2006
1
2006
26
01
Journal of Futures Markets
1
31
http://hdl.handle.net/
Dimitris Psychoyios
George Skiadopoulos
oai:RePEc:wly:jfutmk:v:14:y:1994:i:6:p:757-7712015-03-11RePEc
article
Further evidence on parity relationships in options on S&P 500 index futures
6
1994
14
09
Journal of Futures Markets
757
771
http://hdl.handle.net/
Patrick H. Marchand
James T. Lindley
Richard A. Followill
oai:RePEc:wly:jfutmk:v:1:y:1981:i:2:p:193-1992015-03-11RePEc
article
Comments on “financial futures markets: Is more regulation needed?”
2
1981
1
06
Journal of Futures Markets
193
199
http://hdl.handle.net/
Frederick M. Struble
oai:RePEc:wly:jfutmk:v:27:y:2007:i:3:p:257-2732015-03-11RePEc
article
Pricing American exchange options in a jump‐diffusion model
A way to estimate the value of an American exchange option when the underlying assets follow jump‐diffusion processes is presented. The estimate is based on combining a European exchange option and a Bermudan exchange option with two exercise dates by using Richardson extrapolation as proposed by R. Geske and H. Johnson (1984). Closed‐form solutions for the values of European and Bermudan exchange options are derived. Several numerical examples are presented, illustrating that the early exercise feature may have a significant economic value. The results presented should have potential for pricing over‐the‐counter options and in particular for pricing real options. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:257–273, 2007
3
2007
27
03
Journal of Futures Markets
257
273
http://hdl.handle.net/
Snorre Lindset
oai:RePEc:wly:jfutmk:v:14:y:1994:i:8:p:957-9622015-03-11RePEc
article
On the arbitrage‐free pricing relationship between index futures and index options: A note
8
1994
14
12
Journal of Futures Markets
957
962
http://hdl.handle.net/
Joseph K. W. Fung
Kam C. Chan
oai:RePEc:wly:jfutmk:v:19:y:1999:i:1:p:59-772015-03-11RePEc
article
Efficiency tests in the Spanish futures markets
The Spanish futures markets, the MEFF RENTA FIJA, and the MEFF RENTA VARIABLE, are among the fast‐growing futures markets in the world. These markets are known for their cutting‐edge technological innovations related to trading, providing information, clearing, and settlement. The growing importance of these markets for both foreign and domestic investors motivated the examination of their efficiency. Test results from serial correlations, unit root tests, and variance ratio tests overwhelmingly show that the random walk hypothesis cannot be rejected, indicating that the MEFF markets are efficient. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 59–77, 1999
1
1999
19
02
Journal of Futures Markets
59
77
http://hdl.handle.net/
Chun I. Lee
Ike Mathur
oai:RePEc:wly:jfutmk:v:30:y:2010:i:3:p:290-3042015-03-11RePEc
article
Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?
This study analyzes the problem of multi‐commodity hedging from the downside risk perspective. The lower partial moments (LPM 2 )‐minimizing hedge ratios for the stylized hedging problem of a typical Texas panhandle feedlot operator are calculated and compared with hedge ratios implied by the conventional minimum‐variance (MV) criterion. A kernel copula is used to model the joint distributions of cash and futures prices for commodities included in the model. The results are consistent with the findings in the single‐commodity case in that the MV approach leads to over‐hedging relative to the LPM 2 ‐based hedge. An interesting and somewhat unexpected result is that minimization of a downside risk criterion in a multi‐commodity setting may lead to a “Texas hedge” (i.e. speculation) being an optimal strategy for at least one commodity. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:290–304, 2010
3
2010
30
03
Journal of Futures Markets
290
304
http://hdl.handle.net/
Gabriel J. Power
Dmitry Vedenov
oai:RePEc:wly:jfutmk:v:1:y:1981:i:2:p:265-2862015-03-11RePEc
article
The economics of hedging and spreading in futures markets
2
1981
1
06
Journal of Futures Markets
265
286
http://hdl.handle.net/
Myron S. Scholes
oai:RePEc:wly:jfutmk:v:1:y:1981:i:1:p:17-312015-03-11RePEc
article
Safety‐adjusted performance evaluation
1
1981
1
03
Journal of Futures Markets
17
31
http://hdl.handle.net/
P. J. Kaufman
oai:RePEc:wly:jfutmk:v:18:y:1998:i:4:p:363-3782015-03-11RePEc
article
An empirical test of the Hull‐White option pricing model
4
1998
18
06
Journal of Futures Markets
363
378
http://hdl.handle.net/
Charles Corrado
Tie Su
oai:RePEc:wly:jfutmk:v:10:y:1990:i:1:p:75-782015-03-11RePEc
article
An empirical note on hedging mortgages with puts
1
1990
10
02
Journal of Futures Markets
75
78
http://hdl.handle.net/
Austin Murphy
Douglas Gordon
oai:RePEc:wly:jfutmk:v:3:y:1983:i:4:p:415-4272015-03-11RePEc
article
Accounting for interest rate futures in bank asset‐liability management
4
1983
3
12
Journal of Futures Markets
415
427
http://hdl.handle.net/
Laurie S. Goodman
Martha J. Langer
oai:RePEc:wly:jfutmk:v:18:y:1998:i:1:p:1-342015-03-11RePEc
article
Extracting market views from the price of options on futures
1
1998
18
02
Journal of Futures Markets
1
34
http://hdl.handle.net/
Gregory M. Martinez
oai:RePEc:wly:jfutmk:v:28:y:2008:i:9:p:871-8882015-03-11RePEc
article
Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets
On April 2, 2006, the Chicago Mercantile Exchange reduced the minimum tick size of the floor‐traded and E‐mini Nasdaq‐100 futures from 0.5 to 0.25 index points. This study examines the effect of this change in the contract design on execution costs, informational efficiency, and price discovery. The results show a significant reduction in the effective spreads in both of the contract markets but especially in the electronically traded E‐mini futures. The paper also finds that the tick size reduction has improved price discovery and informational efficiency in the E‐mini futures market. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:871–888, 2008
9
2008
28
09
Journal of Futures Markets
871
888
http://hdl.handle.net/
Alexander Kurov
oai:RePEc:wly:jfutmk:v:23:y:2003:i:8:p:799-8162015-03-11RePEc
article
Robust estimation of the optimal hedge ratio
When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean‐variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge ratio,which can be estimated by regressing the spot market return on the futures market return using ordinary least squares. To accommodate time‐varying volatility in asset returns, estimators based on rolling windows, GARCH, or EWMA models are commonly employed. However, all of these approaches are based on the sample variance and covariance estimators of returns, which, while consistent irrespective of the underlying distribution of the data, are not in general efficient. In particular, when the distribution of the data is leptokurtic, as is commonly found for short horizon asset returns, these estimators will attach too much weight to extreme observations. This article proposes an alternative to the standard approach to the estimation of the OHR that is robust to the leptokurtosis of returns. We use the robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate the robust OHR using both the rolling window approach and the EWMA approach, and compare our results to those based on the standard rolling window and EWMA estimators. It is shown that the robust OHR yields a hedged portfolio variance that is marginally lower than that based on the standard estimator. Moreover, the variance of the robust OHR is as much as 70% lower than the variance of the standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging strategies. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:799–816, 2003
8
2003
23
08
Journal of Futures Markets
799
816
http://hdl.handle.net/
Richard D. F. Harris
Jian Shen
oai:RePEc:wly:jfutmk:v:8:y:1988:i:1:p:115-1212015-03-11RePEc
article
The “weekend effect” for stock indexes and stock index futures: Dividend and interest rate effects
1
1988
8
02
Journal of Futures Markets
115
121
http://hdl.handle.net/
Frederick J. Phillips‐Patrick
Thomas Schneeweis
oai:RePEc:wly:jfutmk:v:2:y:1982:i:1:p:107-1162015-03-11RePEc
article
Economic considerations in the use of interest rate futures
1
1982
2
03
Journal of Futures Markets
107
116
http://hdl.handle.net/
Charles T. Franckle
Andrew J. Senchack Jr.
oai:RePEc:wly:jfutmk:v:17:y:1997:i:1:p:17-432015-03-11RePEc
article
Volatility, storage and convenience: Evidence from natural gas markets
1
1997
17
02
Journal of Futures Markets
17
43
http://hdl.handle.net/
Raul Susmel
Andrew Thompson
oai:RePEc:wly:jfutmk:v:1:y:1981:i:4:p:657-6582015-03-11RePEc
article
Proposed amendment of section 4d(2) of the commodity exchange act: Concerning investment of customer funds
4
1981
1
12
Journal of Futures Markets
657
658
http://hdl.handle.net/
Leslie A. Blau
James S. Barber
oai:RePEc:wly:jfutmk:v:6:y:1986:i:4:p:593-6182015-03-11RePEc
article
Options on futures contracts: A comparison of European and American pricing models
4
1986
6
12
Journal of Futures Markets
593
618
http://hdl.handle.net/
Kuldeep Shastri
Kishore Tandon
oai:RePEc:wly:jfutmk:v:8:y:1988:i:4:p:413-4192015-03-11RePEc
article
Program trading and stock and futures price volatility
4
1988
8
08
Journal of Futures Markets
413
419
http://hdl.handle.net/
Sanford J. Grossman
oai:RePEc:wly:jfutmk:v:28:y:2008:i:6:p:518-5362015-03-11RePEc
article
Efficiency of single‐stock futures: An intraday analysis
Using intraday bid–ask quotes of single‐stock futures (SSFs) contracts and the underlying stocks, the pricing and informational efficiency of SSF traded on the Hong Kong Exchange are examined. Both the SSFs and the stocks are traded on electronic platforms. The market microstructure and the data obviate the problems of stale and non‐executable prices as well as uncertain bid–ask bounce of the thinly traded futures contracts. Nominal price comparisons show that more than 80% of SSF quotes are inferior to stock quotes. More than 99% of the observed futures spreads are above one stock tick compared with only 2% of those for stocks. After adjusting for the cost‐of‐carry, however, SSFs are fairly priced. Given higher stock trading costs, non‐members should even find the futures attractively priced. Thus, the absence of competitive market maker does not bias prices so as to discourage trading. SSF quotes also account for one‐third of price discovery despite their low volume. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:518–536, 2008
6
2008
28
06
Journal of Futures Markets
518
536
http://hdl.handle.net/
Joseph K.W. Fung
Yiuman Tse
oai:RePEc:wly:jfutmk:v:30:y:2010:i:1:p:25-472015-03-11RePEc
article
Corporate usage of financial derivatives, information asymmetry, and insider trading
This article investigates whether financial derivative usage by Australian corporations constitutes information asymmetry when proxied by profitable trading in the firms' securities by insiders. The findings show that insiders who trade in companies that employ derivatives make larger purchase returns compared to insiders in nonuser firms with regard to trading identity, trading intensity, variability of usage, volume of trading, and industry effects. A plausible explanation is that asymmetry is driven by derivative traders who undertake noisy transactions in firms where risk outcomes were previously transparent. Excess returns are confined to purchase transactions consistent with insiders primarily selling for noninformation reasons. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:25–47, 2010
1
2010
30
01
Journal of Futures Markets
25
47
http://hdl.handle.net/
Hoa Nguyen
Robert Faff
Allan Hodgson
oai:RePEc:wly:jfutmk:v:18:y:1998:i:5:p:599-6042015-03-11RePEc
article
How to finance your investment opportunity internally: A note
5
1998
18
08
Journal of Futures Markets
599
604
http://hdl.handle.net/
Enrico Pennings
oai:RePEc:wly:jfutmk:v:23:y:2003:i:4:p:347-3872015-03-11RePEc
article
The components of interest rate swap spreads: Theory and international evidence
This article contains both a theoretical and an empirical analysis of the components of interest rate swap spreads defined as the difference between the fixed swap rate and the risk‐free rate of equal maturity. The components are determined by expected LIBOR spreads, default risk, and market structure. A model of the swap market incorporating debt market imperfections and corporate financing choices is used to explain participation by both swap buyers and sellers. The model also motivates an empirical relationship between swap spreads and the slope of the risk‐free term structure. The article then provides empirical evidence on the cross‐sectional and time‐series variation of swap spreads in seven international markets. The evidence is consistent with the suggested components across both markets and swap maturities as well as over time. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:347–387, 2003
4
2003
23
04
Journal of Futures Markets
347
387
http://hdl.handle.net/
Frank Fehle
oai:RePEc:wly:jfutmk:v:1:y:1981:i:3:p:393-4032015-03-11RePEc
article
Optimal versus naive buy‐hedging with t‐bill futures
3
1981
1
09
Journal of Futures Markets
393
403
http://hdl.handle.net/
Terry S. Maness
oai:RePEc:wly:jfutmk:v:15:y:1995:i:3:p:303-3442015-03-11RePEc
article
Some easy‐to‐implement methods of calculating American futures option prices
3
1995
15
05
Journal of Futures Markets
303
344
http://hdl.handle.net/
M. M. Chaudhury
oai:RePEc:wly:jfutmk:v:28:y:2008:i:8:p:717-7482015-03-11RePEc
article
Nonparametric American option pricing
A nonparametric method is introduced to accurately price American‐style contingent claims. This method uses only historical stock price data, not option price data, to generate the American option price. The accuracy of this method is tested in a controlled experimental environment under both Black, F and Scholes, M (1973) and Heston, S (1993) assumptions, and an error‐metric analysis is performed. These numerical experiments demonstrate that this method is an accurate and precise method of pricing American options under a variety of market conditions. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:717–748, 2008
8
2008
28
08
Journal of Futures Markets
717
748
http://hdl.handle.net/
Jamie Alcock
Trent Carmichael
oai:RePEc:wly:jfutmk:v:8:y:1988:i:2:p:229-2412015-03-11RePEc
article
Day of the week effects and commodity price changes
2
1988
8
04
Journal of Futures Markets
229
241
http://hdl.handle.net/
Eric C. Chang
Chan‐Wung Kim
oai:RePEc:wly:jfutmk:v:1:y:1981:i:4:p:649-6562015-03-11RePEc
article
Application of statistical methodology to the evaluation of timing devices in commodities trading
4
1981
1
12
Journal of Futures Markets
649
656
http://hdl.handle.net/
Jeffrey S. Simonoff
oai:RePEc:wly:jfutmk:v:11:y:1991:i:1:p:69-802015-03-11RePEc
article
The informational content of the basis: Evidence from Canadian barley, oats, and canola futures markets
1
1991
11
02
Journal of Futures Markets
69
80
http://hdl.handle.net/
Nabil T. Khoury
Pierre Yourougou
oai:RePEc:wly:jfutmk:v:4:y:1984:i:4:p:513-5302015-03-11RePEc
article
Risk and returns from alternative marketing strategies for corn producers
4
1984
4
12
Journal of Futures Markets
513
530
http://hdl.handle.net/
Larry J. Martin
David Hope
oai:RePEc:wly:jfutmk:v:4:y:1984:i:2:p:213-2242015-03-11RePEc
article
The mexican peso and the chicago international money market: A case. Study in foreign currency futures
2
1984
4
06
Journal of Futures Markets
213
224
http://hdl.handle.net/
Joseph E. Finnerty
oai:RePEc:wly:jfutmk:v:6:y:1986:i:2:p:261-2712015-03-11RePEc
article
The effects of margins on trading in futures markets
2
1986
6
06
Journal of Futures Markets
261
271
http://hdl.handle.net/
Raymond P. H. Fishe
Lawrence G. Goldberg
oai:RePEc:wly:jfutmk:v:4:y:1984:i:2:p:115-1232015-03-11RePEc
article
Cash‐and‐carry trading and the pricing of treasury bill futures
2
1984
4
06
Journal of Futures Markets
115
123
http://hdl.handle.net/
Ira G. Kawaller
Timothy W. Koch
oai:RePEc:wly:jfutmk:v:7:y:1987:i:6:p:675-6932015-03-11RePEc
article
Hedging mortgage‐backed securities with treasury bond futures
6
1987
7
12
Journal of Futures Markets
675
693
http://hdl.handle.net/
Carl A. Batlin
oai:RePEc:wly:jfutmk:v:10:y:1990:i:6:p:623-6412015-03-11RePEc
article
The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes
6
1990
10
12
Journal of Futures Markets
623
641
http://hdl.handle.net/
Roger Fujihara
Keehwan Park
oai:RePEc:wly:jfutmk:v:28:y:2008:i:7:p:711-7162015-03-11RePEc
article
A note on estimating the benefit of a composite hedge
7
2008
28
07
Journal of Futures Markets
711
716
http://hdl.handle.net/
Donald Lien
oai:RePEc:wly:jfutmk:v:23:y:2003:i:10:p:1003-10172015-03-11RePEc
article
Commodity trading advisors' leverage and reported margin‐to‐equity ratios
We investigate the effect of leverage on Commodity Trading Advisors' (CTAs) performance measurement. We find that leverage has important effects on the cross section of CTA returns, volatility, and survival experience. On average, a 100‐basis points increase in leverage is associated with a 27‐basis points increase in returns. After performance is adjusted for leverage, volatility, and survival experience, CTAs' style variables have no significant effect on performance. The amount of leverage used by a CTA is found to reduce the likelihood of survival. However, the total effect of leverage on survival is much smaller than its partial effect. Contrary to common beliefs, we find that CTA diversification leads to higher levels of leverage and volatility. This apparent contradiction is related to how the diversification process affects the use of leverage. The findings in this study have implications for measuring and comparing managers' performance track records. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1003–1017, 2003
10
2003
23
10
Journal of Futures Markets
1003
1017
http://hdl.handle.net/
Fernando Diz
oai:RePEc:wly:jfutmk:v:13:y:1993:i:5:p:497-5142015-03-11RePEc
article
Feeder cattle cash settlement: Hedging risk reduction or illusion?
5
1993
13
08
Journal of Futures Markets
497
514
http://hdl.handle.net/
Don R. Rich
Raymond M. Leuthold
oai:RePEc:wly:jfutmk:v:18:y:1998:i:1:p:73-892015-03-11RePEc
article
Conditional information: When are pork belly cold storage reports informative?
1
1998
18
02
Journal of Futures Markets
73
89
http://hdl.handle.net/
Thomas L. Mann
Richard Dowen
oai:RePEc:wly:jfutmk:v:24:y:2004:i:7:p:697-7062015-03-11RePEc
article
Hedging, liquidity, and the competitive firm under price uncertainty
In this paper, the behavior of the competitive firm under price uncertainty when the firm has access to an intertemporally unbiased futures market is examined. Futures contracts are marked‐to‐market and thus require interim cash settlement of gains and losses. The firm is subject to a liquidity constraint in that it is forced to prematurely close its futures position on which the interim loss incurred exceeds a threshold level. It is shown that the liquidity constrained firm optimally opts for an under‐hedge should it be prudent. Furthermore, the prudent firm cuts down its optimal level of output in response to the presence of the liquidity constraint. As such, the liquidity risk created by the interim funding requirement of a futures hedge adversely affects the hedging and production decisions of the competitive firm under price uncertainty. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:697–706, 2004
7
2004
24
07
Journal of Futures Markets
697
706
http://hdl.handle.net/
Kit Pong Wong
oai:RePEc:wly:jfutmk:v:10:y:1990:i:5:p:519-5332015-03-11RePEc
article
Commodity convenience yields as an option profit
5
1990
10
10
Journal of Futures Markets
519
533
http://hdl.handle.net/
Robert Heinkel
Maureen E. Howe
John S. Hughes
oai:RePEc:wly:jfutmk:v:26:y:2006:i:11:p:1131-11432015-03-11RePEc
article
Price discovery in the foreign exchange futures market
Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on‐line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; the on‐line trading spot market provides the most in the Japanese yen. The floor‐traded futures markets contribute the least to price discovery in both the euro and the Japanese yen markets. The overall results show that electronic trading platforms facilitate price discovery more efficiently than floor trading. Futures traders may also extract information from on‐line spot prices. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1131–1143, 2006
11
2006
26
11
Journal of Futures Markets
1131
1143
http://hdl.handle.net/
Yiuman Tse
Ju Xiang
Joseph K. W. Fung
oai:RePEc:wly:jfutmk:v:5:y:1985:i:3:p:331-3482015-03-11RePEc
article
Some determinants of the volatility of futures prices
3
1985
5
09
Journal of Futures Markets
331
348
http://hdl.handle.net/
Ronald W. Anderson
oai:RePEc:wly:jfutmk:v:11:y:1991:i:5:p:539-5552015-03-11RePEc
article
Prospects for hedging federal farm program budgetary risks
5
1991
11
10
Journal of Futures Markets
539
555
http://hdl.handle.net/
Richard G. Heifner
Bruce H. Wright
Lynn J. Maish
oai:RePEc:wly:jfutmk:v:20:y:2000:i:10:p:911-9422015-03-11RePEc
article
Trading and hedging in S&P 500 spot and futures markets using genetic programming
In this study, genetic programming, an optimization technique based on the principles of natural evolution, was used to generate trading and hedging rules in Standard & Poor’s 500 spot and futures markets. I adopted a realistic trading process that included reasonable transaction costs, obtainable execution prices, and all the unique features of futures trading. The results suggested that the spot market was quite efficient with most genetically generated trading rules duplicating the buy‐and‐hold strategy. Most of the trading activities of these trading programs were in the futures market, where transaction costs were substantially lower. The out‐of‐sample performance of these trading rules varied from year to year, indicating that genetic programming could not consistently find outperforming technical trading rules. Some evidence was found for the superior market‐timing abilities of these rules. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:911–942, 2000
10
2000
20
11
Journal of Futures Markets
911
942
http://hdl.handle.net/
Jun Wang
oai:RePEc:wly:jfutmk:v:15:y:1995:i:8:p:881-8992015-03-11RePEc
article
Option initiation and underlying market behavior: Evidence from Norway
8
1995
15
12
Journal of Futures Markets
881
899
http://hdl.handle.net/
Øystein Gjerde
Frode Sættem
oai:RePEc:wly:jfutmk:v:31:y:2011:i:2:p:103-1252015-03-11RePEc
article
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
A quantitative analysis on the pricing of forward starting options under stochastic volatility and stochastic interest rates is performed. The main finding is that forward starting options not only depend on future smiles, but also directly on the evolution of the interest rates as well as the dependency structures among the underlying asset, the interest rates, and the stochastic volatility: compared to vanilla options, dynamic structures such as forward starting options are much more sensitive to model specifications such as volatility, interest rate, and correlation movements. We conclude that it is of crucial importance to take all these factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed‐form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the dependency structure between all these processes explicitly into account. The valuation framework is derived using a probabilistic approach, enabling a fast and efficient evaluation of the option price by Fourier inverting the forward starting characteristic functions. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:103–125, 2011
2
2011
31
02
Journal of Futures Markets
103
125
http://hdl.handle.net/
Alexander Van Haastrecht
Antoon Pelsser
oai:RePEc:wly:jfutmk:v:24:y:2004:i:9:p:861-8862015-03-11RePEc
article
Information content of extended trading for index futures
The recent extension of trading hours for Hang Seng Index Futures provides an opportunity to examine whether extended futures trading contains useful information about spot returns. Using the weighted price contribution measure, we find that pre‐open futures trades are associated with significant price discovery. We extend the model from T. Hiraki, E. D. Maberly, and N. Takezawa (1995) and adjust for the existence of a pre‐open trading session and the overnight trading of cross‐listed shares in London. Our results indicate that extended trading for index futures contains useful information in explaining subsequent spot returns during the trading day. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:861–886, 2004
9
2004
24
09
Journal of Futures Markets
861
886
http://hdl.handle.net/
Louis T. W. Cheng
Li Jiang
Renne W. Y. Ng
oai:RePEc:wly:jfutmk:v:2:y:1982:i:4:p:409-4142015-03-11RePEc
article
A note on net and double gains, or losses, in spreading operations
4
1982
2
12
Journal of Futures Markets
409
414
http://hdl.handle.net/
P. Laborde
oai:RePEc:wly:jfutmk:v:25:y:2005:i:2:p:199-2102015-03-11RePEc
article
Forecasting futures returns in the presence of price limits
In a futures market with a daily price‐limit rule, trading occurs only at prices within limits determined by the previous day's settlement price. Price limits are set in dollars but can be expressed as return limits. When the daily return limit is triggered, the true equilibrium futures return (and price) is unobservable. In such a market, investors may suffer from information loss if the return “moves the limit.” Assuming normally distributed futures returns with unknown means but known volatilities, we develop a Bayesian forecasting model in the presence of return limits and provide some numerical predictions. Our innovation is the derivation of the predictive density for futures returns in the presence of return limits. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:199–210, 2005
2
2005
25
02
Journal of Futures Markets
199
210
http://hdl.handle.net/
Arie Harel
Giora Harpaz
Joseph Yagil
oai:RePEc:wly:jfutmk:v:6:y:1986:i:1:p:63-702015-03-11RePEc
article
Can a dynamic strategy replicate the returns of an option?
1
1986
6
03
Journal of Futures Markets
63
70
http://hdl.handle.net/
Michael Asay
Charles Edelsburg
oai:RePEc:wly:jfutmk:v:10:y:1990:i:2:p:179-1942015-03-11RePEc
article
The economics of cash index alternatives
2
1990
10
04
Journal of Futures Markets
179
194
http://hdl.handle.net/
Lawrence Harris
oai:RePEc:wly:jfutmk:v:20:y:2000:i:9:p:803-8212015-03-11RePEc
article
Normal backwardation is normal
Traditionally, constant expected return asset pricing models are used to assess the presence of a futures risk premium and the validity of the normal backwardation theory. In the light of recent evidence regarding the presence of time variation in expected futures returns, such an approach may lead to incorrect inferences on the applicability of the Keynesian hypothesis. This article therefore allows for variation through time in expected futures returns and offers some strong evidence in favor of the normal backwardation and contango theories. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:803–821, 2000
9
2000
20
10
Journal of Futures Markets
803
821
http://hdl.handle.net/
Joëlle Miffre
oai:RePEc:wly:jfutmk:v:17:y:1997:i:4:p:483-4872015-03-11RePEc
article
A note on the valuation of an exotic timing option
4
1997
17
06
Journal of Futures Markets
483
487
http://hdl.handle.net/
Mondher Bellalah
Jean‐Luc Prigent
oai:RePEc:wly:jfutmk:v:31:y:2011:i:7:p:679-7022015-03-11RePEc
article
Oil volatility and the option value of waiting: An analysis of the G‐7
There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay production and investment. These models are widely utilized in capital budgeting and production decisions, particularly in the energy sector. There is relatively little empirical evidence, however, on whether such channels have effects on industrial production. Using a sample of G7 countries we examine whether uncertainty about a prominent commodity—oil—affects the time series variation in industrial production. Our primary result is consistent with the predictions of real options theory—uncertainty about oil prices has had a negative and significant effect on manufacturing activity in Canada, France, UK, and US. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:679–702, 2011
7
2011
31
07
Journal of Futures Markets
679
702
http://hdl.handle.net/
Don Bredin
John Elder
Stilianos Fountas
oai:RePEc:wly:jfutmk:v:19:y:1999:i:3:p:271-2892015-03-11RePEc
article
The soybean crush spread: Empirical evidence and trading strategies
This article finds that deviations of the soybean crush spread from its long‐run equilibrium were transitory during the sample period from January 1985 through February 1995. This equilibrium is characterized by strong seasonality and by a persistent uptrend in soymeal and soyoil prices relative to soybean prices. A tendency also exists for the crush spread to revert toward its most recent 5‐day average. Simulations demonstrate that trading rules based on these results would have been profitable. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 271–289, 1999
3
1999
19
05
Journal of Futures Markets
271
289
http://hdl.handle.net/
David P. Simon
oai:RePEc:wly:jfutmk:v:1:y:1981:i:3:p:359-3662015-03-11RePEc
article
The systematic downward bias in live cattle futures: An evaluation
3
1981
1
09
Journal of Futures Markets
359
366
http://hdl.handle.net/
Lennart A. Palme Jr.
James Graham
oai:RePEc:wly:jfutmk:v:34:y:2014:i:3:p:261-2812015-03-11RePEc
article
The Return‐Implied Volatility Relation for Commodity ETFs
We examine the return‐implied volatility relation by employing “commodity” option VIXs for the euro, gold, and oil. This relation is substantially weaker than for stock indexes. We propose several potential reasons for these unusually weak results. Also, gold possesses an unusual positive contemporaneous return coefficient, which is consistent with a demand volatility skew rather than the typical investment skew. Moreover, the euro and gold are not asymmetric. We relate the results to trading strategies, algorithmic trading, and behavioral theories. An important conclusion of the study is that important differences exist regarding implied volatility for certain types of assets that have not yet been explained in the literature; namely, the results in this study concerning commodity ETFs versus stock indexes, plus previous research on stock indexes versus individual stocks, and the pricing of stock index options versus individual stock options. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:261–281, 2014
3
2014
34
03
Journal of Futures Markets
261
281
http://hdl.handle.net/
Chaiyuth Padungsaksawasdi
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:25:y:2005:i:9:p:817-8432015-03-11RePEc
article
What moves option‐implied bond market expectations?
This article examines the impact of macroeconomic news announcements on bond market expectations, as measured by option‐implied probability distributions of future bond returns. The results indicate that expected bond market volatilities increase in response to higher‐than‐expected inflation and unemployment announcements. Furthermore, the asymmetries in bond market expectations are found to be affected mostly by surprises in inflation and economic production figures. In particular, it is found that higher‐than‐expected inflation announcements cause optionimplied bond return distributions to become more negatively skewed or less positively skewed, implying a shift in market participants' perceptions toward future increases in interest rates. Finally, the results indicate that market expectations of future extreme movements in bond prices are virtually unaffected by macroeconomic news releases. Some evidence is found, however, that suggests that after extreme surprises in inflation announcements market participants attach higher probabilities for extreme movements in bond prices. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:817–843, 2005
9
2005
25
09
Journal of Futures Markets
817
843
http://hdl.handle.net/
Sami Vähämaa
Sebastian Watzka
Janne Äijö
oai:RePEc:wly:jfutmk:v:20:y:2000:i:10:p:971-9872015-03-11RePEc
article
The relationship between index option moneyness and relative liquidity
Previous research has implicitly assumed, or even suggested, that the relationship between option moneyness and liquidity is quadratic with liquidity maximized for at‐the‐money options. This study investigated the nature of the relationship between moneyness and three liquidity proxies for options on the Standard & Poor’s (S&P) 100 and S&P 500 indexes. With bid – ask spreads, volume and time between quotes as liquidity proxies, statistical analysis rejected the hypothesis of a simple quadratic relationship between moneyness and liquidity in these markets. Although liquidity was maximized near the money, liquidity did not decrease symmetrically as option strikes moved deeper in the money or deeper out of the money. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:971–987, 2000
10
2000
20
11
Journal of Futures Markets
971
987
http://hdl.handle.net/
Cheri Etling
Thomas W. Miller, Jr.
oai:RePEc:wly:jfutmk:v:12:y:1992:i:6:p:679-6922015-03-11RePEc
article
Memories, heteroscedasticity, and price limit in Currency futures markets
6
1992
12
12
Journal of Futures Markets
679
692
http://hdl.handle.net/
G. Wenchi Kao
Christopher K. Ma
oai:RePEc:wly:jfutmk:v:12:y:1992:i:5:p:587-5932015-03-11RePEc
article
A note on the effect of no‐arbitrage conditions
5
1992
12
10
Journal of Futures Markets
587
593
http://hdl.handle.net/
Da‐Hsiang Donald Lien
oai:RePEc:wly:jfutmk:v:28:y:2008:i:3:p:308-3112015-03-11RePEc
article
A further note on the optimality of the OLS hedge strategy
This note considers the hedging effectiveness of a dynamic hedge strategy as compared to the conventional OLS strategy. The conditions for the superiority of the OLS strategy are identified. It is argued that these conditions are frequently satisfied and therefore one expects to find the dominance of the OLS strategy over any dynamic strategy in the empirical work. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:308–311, 2008
3
2008
28
03
Journal of Futures Markets
308
311
http://hdl.handle.net/
Donald Lien
oai:RePEc:wly:jfutmk:v:10:y:1990:i:6:p:573-6032015-03-11RePEc
article
Stock index futures arbitrage: International evidence
6
1990
10
12
Journal of Futures Markets
573
603
http://hdl.handle.net/
Pradeep K. Yadav
Peter F. Pope
oai:RePEc:wly:jfutmk:v:27:y:2007:i:12:p:1175-12172015-03-11RePEc
article
Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures
This study derives closed‐form solutions to the fair value of VIX (volatility index) futures under alternate stochastic variance models with simultaneous jumps both in the asset price and variance processes. Model parameters are estimated using an integrated analysis of integrated volatility and VIX time series from April 21, 2004 to April 18, 2006. The stochastic volatility model with price jumps outperforms for the short‐dated futures, whereas additionally including a state‐dependent volatility jump can further reduce out‐of‐sample pricing errors for other futures maturities. Finally, adding volatility jumps enhances hedging performance except for the short‐dated futures on a daily‐rebalanced basis. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1175–1217, 2007
12
2007
27
12
Journal of Futures Markets
1175
1217
http://hdl.handle.net/
Yueh‐Neng Lin
oai:RePEc:wly:jfutmk:v:6:y:1986:i:1:p:29-392015-03-11RePEc
article
The causal relationship between futures price volatility and the cash price volatility of GNMA securities
1
1986
6
03
Journal of Futures Markets
29
39
http://hdl.handle.net/
Anand K. Bhattacharya
Anju Ramjee
Balasubramani Ramjee
oai:RePEc:wly:jfutmk:v:17:y:1997:i:4:p:369-3842015-03-11RePEc
article
International currency relationship information revealed by cross‐option prices
4
1997
17
06
Journal of Futures Markets
369
384
http://hdl.handle.net/
Andrew F. Siegel
oai:RePEc:wly:jfutmk:v:10:y:1990:i:2:p:153-1682015-03-11RePEc
article
Expiration and delivery on the world sugar futures contract
2
1990
10
04
Journal of Futures Markets
153
168
http://hdl.handle.net/
Sarahelen Thompson
Thomas J. McNeill
James S. Eales
oai:RePEc:wly:jfutmk:v:15:y:1995:i:8:p:929-9512015-03-11RePEc
article
Volume‐volatility relationships for crude oil futures markets
8
1995
15
12
Journal of Futures Markets
929
951
http://hdl.handle.net/
Andrew J. Foster
oai:RePEc:wly:jfutmk:v:14:y:1994:i:4:p:457-4742015-03-11RePEc
article
A time series approach to testing for market linkage: Unit root and cointegration tests
4
1994
14
06
Journal of Futures Markets
457
474
http://hdl.handle.net/
George H. K. Wang
Jot Yau
oai:RePEc:wly:jfutmk:v:13:y:1993:i:3:p:325-3332015-03-11RePEc
article
European options on bond futures: A closed form solution
3
1993
13
05
Journal of Futures Markets
325
333
http://hdl.handle.net/
David Feldman
oai:RePEc:wly:jfutmk:v:30:y:2010:i:10:p:957-9822015-03-11RePEc
article
The dynamics of long forward rate term structures
In this article, we look at study the dynamics of forward rates with maturities longer than 14 years. We re‐document the phenomenon of the downward sloping long forward rate term structure using U.S. Treasury STRIPS data over the period 1988 to 2007. By calibrating Diebold F. X. and Li C.‐L.'s ( 2006 ) dynamic Nelson C. R. and Siegel A. F. ( 1987 ) and Christensen J. H. E., Diebold F. X., and Rudebusch G. D.'s ( 2007 ) arbitrage‐free Nelson‐Siegel models, we find that both models explain the empirical phenomenon very well. Out‐of‐sample comparison shows that imposing no‐arbitrage restriction indeed improves the forecasting performance. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:957–982, 2010
10
2010
30
10
Journal of Futures Markets
957
982
http://hdl.handle.net/
Xingguo Luo
Jin E. Zhang
oai:RePEc:wly:jfutmk:v:8:y:1988:i:5:p:563-5732015-03-11RePEc
article
Cash‐futures arbitrage and forward‐futures spreads in the treasury bill market
5
1988
8
10
Journal of Futures Markets
563
573
http://hdl.handle.net/
Linda Allen
Thom Thurston
oai:RePEc:wly:jfutmk:v:20:y:2000:i:6:p:545-5712015-03-11RePEc
article
Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures market
The relationship between freight cash and futures prices is investigated using cointegration econometrics. Results illustrate that the BIFFEX futures market is unbiased, and hence efficient for the current, one, two, and quarterly contract horizons. Since the futures contract is based on an index of various shipping routes, which has undergone several changes since its inception, stability in the relationship between the spot and futures rates is investigated using rolling cointegration techniques. Results indicate that the futures contract appears to have become more efficient over time in predicting the spot rate, and that the decrease in trading volume found in the BIFFEX market is not driven by a lack of efficiency in this market. Rather, the decrease in futures trading might be attributed to the growth rate of the freight forward market. This article incorporates the long‐run cointegrating relationships between cash and futures prices in a forecasting model and compares the forecasting performance of this model with several alternatives. It is found that while the futures price is the best predictor of future spot rates for the current‐month contract, time‐series models can outperform the futures contract at longer contract horizons. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:545–571, 2000.
6
2000
20
07
Journal of Futures Markets
545
571
http://hdl.handle.net/
Michael S. Haigh
oai:RePEc:wly:jfutmk:v:17:y:1997:i:5:p:579-5982015-03-11RePEc
article
Stochastic interest rates, transaction costs, and immunizing foreign currency risk
5
1997
17
08
Journal of Futures Markets
579
598
http://hdl.handle.net/
Raymond Chiang
John Okunev
Mark Tippett
oai:RePEc:wly:jfutmk:v:8:y:1988:i:6:p:723-7242015-03-11RePEc
article
The other friday “bull” effect: A chance occurrence or the harbinger of yet another puzzling anomaly? a note!
6
1988
8
12
Journal of Futures Markets
723
724
http://hdl.handle.net/
Edwin D. Maberly
oai:RePEc:wly:jfutmk:v:3:y:1983:i:1:p:75-1002015-03-11RePEc
article
A fundamental overview of the energy futures market
1
1983
3
03
Journal of Futures Markets
75
100
http://hdl.handle.net/
David J. Hirschfeld
oai:RePEc:wly:jfutmk:v:13:y:1993:i:5:p:453-4672015-03-11RePEc
article
Seasonal effects in S&P 100 index option returns
5
1993
13
08
Journal of Futures Markets
453
467
http://hdl.handle.net/
John S. Cotner
Nandkumar Nayar
oai:RePEc:wly:jfutmk:v:31:y:2011:i:7:p:659-6782015-03-11RePEc
article
Convexity meets replication: Hedging of swap derivatives and annuity options
Convexity correction arises when one computes the expected value of an interest rate index under a probability measure other than its own natural martingale measure. As a typical example, the natural martingale measure of the swap rate is the swap measure with annuity as the numeraire. However, the evaluation of the discounted expectation of the payoff in a constant maturity swap (CMS) derivative is performed under the forward measure corresponding to the payment date. In this study, we propose a generalization of the static replication formula by exploring the linkage between replication, convexity correction, and numeraire change. We illustrate how the static replication of a CMS caplet by a portfolio of payer swaptions is related to convexity correction associated with the bond–annuity numeraire ratio. We also demonstrate the use of the generalized static replication approach for hedging the in‐arrears clean index principal swaps and annuity options © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:659–678, 2011
7
2011
31
07
Journal of Futures Markets
659
678
http://hdl.handle.net/
Wendong Zheng
Yue Kuen Kwok
oai:RePEc:wly:jfutmk:v:5:y:1985:i:4:p:633-6412015-03-11RePEc
article
Futures Trading and the Price Volatility of GNMA Certificates—Further Evidence
4
1985
5
12
Journal of Futures Markets
633
641
http://hdl.handle.net/
Eugene J. Moriarty
Paula A. Tosini
oai:RePEc:wly:jfutmk:v:4:y:1984:i:1:p:105-1092015-03-11RePEc
article
Futures bibliography
1
1984
4
03
Journal of Futures Markets
105
109
http://hdl.handle.net/
Robert T. Diagler
oai:RePEc:wly:jfutmk:v:12:y:1992:i:2:p:237-2512015-03-11RePEc
article
Effect of institutional realities on dynamic hedging performance for a Grain producer
2
1992
12
04
Journal of Futures Markets
237
251
http://hdl.handle.net/
Steve Martinez
Kelly D. Zering
oai:RePEc:wly:jfutmk:v:19:y:1999:i:4:p:433-4552015-03-11RePEc
article
Margin requirements and futures activity: Evidence from the soybean and corn markets
This article investigates the impact of margin requirements on the trading activity and volatility in futures markets. We extend Hartzmark's (1986) model for futures demand to allow for the costs imposed by margins to change across the maturity of the contract. The model is tested employing data from the soybean and corn markets. We find that trading activity becomes more sensitive to margin changes as one gets closer to contract maturity, inconsistent with the notion that margins impose important opportunity costs on futures traders. Margins are found to have a negative impact on the trading activities of all types of traders, though there is some evidence that margin alterations bring about changes in the makeup of the market. The data also indicate that margins are likely to be hiked during periods of increased volatility, and reduced during periods of relative stability, thus suggesting that margin alterations serve primarily as insurance to futures exchanges. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 433–455, 1999
4
1999
19
06
Journal of Futures Markets
433
455
http://hdl.handle.net/
Bahram Adrangi
Arjun Chatrath
oai:RePEc:wly:jfutmk:v:6:y:1986:i:2:p:231-2482015-03-11RePEc
article
The quality option in the treasury bond futures market: An empirical assessment
2
1986
6
06
Journal of Futures Markets
231
248
http://hdl.handle.net/
Alex Kane
Alan J. Marcus
oai:RePEc:wly:jfutmk:v:4:y:1984:i:2:p:173-1872015-03-11RePEc
article
An immunization strategy for futures contracts on government securities
2
1984
4
06
Journal of Futures Markets
173
187
http://hdl.handle.net/
Donald R. Chambers
oai:RePEc:wly:jfutmk:v:16:y:1996:i:2:p:219-2262015-03-11RePEc
article
On the conventional definition of currency hedge ratio
2
1996
16
04
Journal of Futures Markets
219
226
http://hdl.handle.net/
Da‐Hsiang Donald Lien
oai:RePEc:wly:jfutmk:v:5:y:1985:i:4:p:505-5152015-03-11RePEc
article
Reexamination of Normal Backwardation Hypothesis in Futures Markets
4
1985
5
12
Journal of Futures Markets
505
515
http://hdl.handle.net/
Hun Y. Park
oai:RePEc:wly:jfutmk:v:6:y:1986:i:4:p:523-5402015-03-11RePEc
article
Testing the rationality of futures prices for selected LDC agricultural exports
4
1986
6
12
Journal of Futures Markets
523
540
http://hdl.handle.net/
Indira Rajaraman
oai:RePEc:wly:jfutmk:v:24:y:2004:i:5:p:503-5122015-03-11RePEc
article
A note on price futures versus revenue futures contracts
Here we consider the hedging roles of a price futures contract versus a revenue futures contract. In the absence of idiosyncratic output risk, the revenue contract almost always dominates the price contract. Idiosyncratic output risk provides conditions under which the price contract should dominate. When production risk is largely idiosyncratic, a producer with an anticipated long actuals position might combine a long revenue futures position with a short price futures position. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:503–512, 2004
5
2004
24
05
Journal of Futures Markets
503
512
http://hdl.handle.net/
Donald Lien
David A. Hennessy
oai:RePEc:wly:jfutmk:v:29:y:2009:i:1:p:74-932015-03-11RePEc
article
Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price‐discovery ability of the Taiwan Top 50 Tracker Fund, an exchange‐traded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum tick size in the stock market decreases, the bid–ask spreads of the component stocks of the stock index and the Taiwan Top 50 Tracker Fund get lower, and the contribution of the spot market to price discovery increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:74–93, 2009
1
2009
29
01
Journal of Futures Markets
74
93
http://hdl.handle.net/
Yu‐Lun Chen
Yin‐Feng Gau
oai:RePEc:wly:jfutmk:v:17:y:1997:i:4:p:417-4322015-03-11RePEc
article
The impact of proprietary--public information on pork futures
4
1997
17
06
Journal of Futures Markets
417
432
http://hdl.handle.net/
Thomas L. Mann
Richard J. Dowen
oai:RePEc:wly:jfutmk:v:31:y:2011:i:5:p:465-4862015-03-11RePEc
article
Cash trading and index futures price volatility
This study examines the effect of cash market liquidity on the volatility of stock index futures. Two facets of cash market liquidity are considered: (1) the level of liquidity trading proxied by the expected New York Stock Exchange (NYSE) trading volume and (2) the noise composition of trading proxied by the average NYSE trading commission cost. Under the framework of spline–GARCH with a liquidity component, both the quarterly average commission cost and the quarterly expected NYSE volume are negatively associated with the ex ante daily volatility of S&P 500 and NYSE composite index futures. Conversely, liquidity and noise trading in the cash market both dampen futures price volatility, ceteris paribus. This negative association between secular cash trading liquidity and daily futures price volatility is amplified during times of market crisis. These results retain statistical significance and materiality after controlling for bid–ask bounce of futures prices and volume of traded futures contracts. This study establishes empirical evidence to affirm the conventional prediction of a liquidity–volatility relationship: the liquidity effect is secular and persistent across markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:465–486, 2011
5
2011
31
05
Journal of Futures Markets
465
486
http://hdl.handle.net/
Jinliang Li
oai:RePEc:wly:jfutmk:v:5:y:1985:i:4:p:539-5772015-03-11RePEc
article
Pricing Options on Agricultural Futures: Departures from Traditional Theory
4
1985
5
12
Journal of Futures Markets
539
577
http://hdl.handle.net/
Robert J. Hauser
David Neff
oai:RePEc:wly:jfutmk:v:17:y:1997:i:4:p:385-4162015-03-11RePEc
article
An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets
4
1997
17
06
Journal of Futures Markets
385
416
http://hdl.handle.net/
Roger A. Fujihara
Mbodja Mougoué
oai:RePEc:wly:jfutmk:v:8:y:1988:i:4:p:421-4392015-03-11RePEc
article
Futures trading and cash market volatility: Stock index and interest rate futures
4
1988
8
08
Journal of Futures Markets
421
439
http://hdl.handle.net/
Franklin R. Edwards
oai:RePEc:wly:jfutmk:v:23:y:2003:i:12:p:1123-11242015-03-11RePEc
article
Editor's note
12
2003
23
12
Journal of Futures Markets
1123
1124
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:30:y:2010:i:6:p:590-6062015-03-11RePEc
article
Price discovery in electronic foreign exchange markets: The sterling/dollar market
This study finds that GLOBEX has a marginally lower Hasbrouck, J. (1995) information share than Reuters D3000 in the electronic sterling/dollar foreign exchange market when returns are computed from high frequency data on either midquotes or transaction prices. However, GLOBEX's information share declines sharply when returns are computed from a mixture of GLOBEX transaction prices and Reuters D3000 midquotes. This helps explain why prior studies using this latter methodology report relatively low information shares for GLOBEX in the yen/dollar market. Variations in GLOBEX's information share on an intraday basis can be explained by variations in relative liquidity, spreads and price volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:590–606, 2010
6
2010
30
06
Journal of Futures Markets
590
606
http://hdl.handle.net/
Russell Poskitt
oai:RePEc:wly:jfutmk:v:27:y:2007:i:12:p:1127-11272015-03-11RePEc
article
Editor's note
12
2007
27
12
Journal of Futures Markets
1127
1127
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:9:y:1989:i:6:p:565-5712015-03-11RePEc
article
Gambler's ruin and optimal stop loss strategy
6
1989
9
12
Journal of Futures Markets
565
571
http://hdl.handle.net/
Gang Shyy
oai:RePEc:wly:jfutmk:v:13:y:1993:i:6:p:611-6302015-03-11RePEc
article
An empirical analysis of risk premia in futures markets
6
1993
13
09
Journal of Futures Markets
611
630
http://hdl.handle.net/
Hendrik Bessembinder
oai:RePEc:wly:jfutmk:v:18:y:1998:i:8:p:985-9992015-03-11RePEc
article
Returns and volatility in the Kuala Lumpur crude
This article investigates the determinants of daily returns and volatility in the Kuala Lumpur crude palm oil futures market over the period 1980 to 1994. We find significant evidence of month and open interest effects in returns and also find strong evidence of daily, monthly, yearly, volume and open interest effects in volatility when ARCH/ GARCH models are used to estimate volatility. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:985–999, 1998
8
1998
18
12
Journal of Futures Markets
985
999
http://hdl.handle.net/
Keng Yap Liew
Robert Brooks
oai:RePEc:wly:jfutmk:v:11:y:1991:i:6:p:711-7282015-03-11RePEc
article
“Chaos” in futures markets? A nonlinear dynamical analysis
6
1991
11
12
Journal of Futures Markets
711
728
http://hdl.handle.net/
Steven C. Blank
oai:RePEc:wly:jfutmk:v:7:y:1987:i:6:p:721-7262015-03-11RePEc
article
Futures bibliography
6
1987
7
12
Journal of Futures Markets
721
726
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:16:y:1996:i:4:p:389-4032015-03-11RePEc
article
Do systematic risk premiums persist in eurodollar futures prices?
4
1996
16
06
Journal of Futures Markets
389
403
http://hdl.handle.net/
Tim Krehbiel
Lee C. Adkins
oai:RePEc:wly:jfutmk:v:17:y:1997:i:1:p:1-152015-03-11RePEc
article
Convenience yields as call options: An empirical analysis
1
1997
17
02
Journal of Futures Markets
1
15
http://hdl.handle.net/
Nikolaos T. Milonas
Stavros B. Thomadakis
oai:RePEc:wly:jfutmk:v:24:y:2004:i:4:p:387-3982015-03-11RePEc
article
Time variation in the tail behavior of Bund future returns
The literature on the tail behavior of asset prices focuses mainly on the foreign exchange and stock markets, with only a few articles dealing with bonds or bond futures. The present article addresses this omission. It focuses on three questions using extreme value analysis: (a) Does the distribution of Bund future returns have heavy tails? (b) Do the tails change over time? (c) Does the tail index provide information that is not captured by a standard VaR approach? The results are as follows: (a) The distribution of high‐frequency returns of the Bund future is indeed characterized by heavy tails. The tails are thinner for lower frequencies, but remain significantly heavy even for daily data. (b) There are statistically significant breaks in the tails of the return distribution. (c) The likelihood of extreme price movements suggested by extreme value theory differs from that obtained by standard risk measures. This suggests that the tail index does indeed provide information not contained in volatility measures. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:387–398, 2004
4
2004
24
04
Journal of Futures Markets
387
398
http://hdl.handle.net/
Thomas Werner
Christian Upper
oai:RePEc:wly:jfutmk:v:25:y:2005:i:8:p:717-7522015-03-11RePEc
article
Is investor misreaction economically significant? Evidence from short‐ and long‐term S&P 500 index options
Several recent studies present evidence of investor misreaction in the options market. Although the interpretation of their results is still controversial, the important question of economic significance has not been fully addressed. Here this gap is addressed by formulating regression‐based tests to identify misreaction and its duration and constructing trading strategies to exploit the empirical patterns of misreaction. Regular S&P 500 index options and long‐dated S&P 500 LEAPS are used to find an underreaction that on average dissipates over the course of 3 trading days and an increasing misreaction that peaks after four consecutive daily variance shocks of the same sign. Option trading strategies based on these findings produce economically significant abnormal returns in the range of 1–3% per day. However, they are not profitable in the presence of transaction costs. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:717–752, 2005
8
2005
25
08
Journal of Futures Markets
717
752
http://hdl.handle.net/
Charles Cao
Haitao Li
Fan Yu
oai:RePEc:wly:jfutmk:v:30:y:2010:i:8:p:795-8002015-03-11RePEc
article
Effects of omitting information variables on optimal hedge ratio estimation: A note
Suppose that there is an information variable (with error correction variable being a special case) affecting the spot price but not the futures price. The estimated optimal hedge ratio is unbiased but inefficient when this variable is omitted. In addition, the resulting hedging effectiveness is smaller than that provided by the efficient hedge ratio. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:795–800, 2010
8
2010
30
08
Journal of Futures Markets
795
800
http://hdl.handle.net/
Donald Lien
oai:RePEc:wly:jfutmk:v:1:y:1981:i:2:p:201-2182015-03-11RePEc
article
The regulation of futures and forward trading by depository institutions: A legal and economic analysis
2
1981
1
06
Journal of Futures Markets
201
218
http://hdl.handle.net/
Franklin R. Edwards
oai:RePEc:wly:jfutmk:v:26:y:2006:i:7:p:677-7022015-03-11RePEc
article
Reevaluating hedging performance
Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance‐evaluation metrics across seven international markets. The hedging performances of short and long hedgers are compared with the use of traditional variance‐based approaches together with modern risk‐management techniques, including value at risk, conditional value at risk, and approaches based on downside risk. The findings indicate that use of these metrics to evaluate hedging performance yields differences in terms of best hedging strategy as compared with the traditional variance measure. Also, significant differences in performance between short and long hedgers are found. These results are observed both in sample and out of sample. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:677–702, 2006
7
2006
26
07
Journal of Futures Markets
677
702
http://hdl.handle.net/
John Cotter
Jim Hanly
oai:RePEc:wly:jfutmk:v:24:y:2004:i:3:p:221-2502015-03-11RePEc
article
Common risk factors in the U.S. and UK interest rate swap markets: Evidence from a nonlinear vector autoregression approach
This paper produces evidence in support of the existence of common risk factors in the U.S. and UK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR) framework, we show that the dynamics of the U.S. and UK swap spreads are best described by a regime‐switching model. We identify the existence of two distinct regimes in U.S. and UK swap spreads; one is characterized by a “flat” term structure of U.S. interest rates and the other is characterized by an “upward” sloping U.S. term structure. In addition, we show that there exist significant asymmetries on the impact of the common risk factors on the U.S. and UK swap spreads. Shocks to UK oriented risk factors have a strong effect on the U.S. swap markets during the “flat” slope regime but a very limited effect otherwise. On the other hand, U.S. risk factors have a significant impact on the UK swap markets in both regimes. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:221–250, 2004
3
2004
24
03
Journal of Futures Markets
221
250
http://hdl.handle.net/
Ilias Lekkos
Costas Milas
oai:RePEc:wly:jfutmk:v:20:y:2000:i:1:p:19-402015-03-11RePEc
article
Cash settlement of futures contracts: An economic analysis
1
2000
20
01
Journal of Futures Markets
19
40
http://hdl.handle.net/
Kenneth D. Garbade
William L. Silber
oai:RePEc:wly:jfutmk:v:5:y:1985:i:2:p:173-1822015-03-11RePEc
article
An empirical test of a duration‐based hedge: The case of corporate bonds
2
1985
5
06
Journal of Futures Markets
173
182
http://hdl.handle.net/
William J. Landes
John D. Stoffels
James A. Seifert
oai:RePEc:wly:jfutmk:v:20:y:2000:i:3:p:265-2912015-03-11RePEc
article
Empirical performance of alternative pricing models of currency options
This article examines the out‐of‐sample pricing performance and biases of the Heston’s stochastic volatility and modified Black‐Scholes option pricing models in valuing European currency call options written on British pound. The modified Black‐Scholes model with daily‐revised implied volatilities performs as well as the stochastic volatility model in the aggregate sample. Both models provide close and similar correspondence to actual prices for options trading near‐ or at‐the‐money. The prices generated from the stochastic volatility model are subject to fewer and weaker aggregate pricing biases than are the prices from the modified Black‐Scholes model. Thus, the stochastic volatility model may provide improved estimates of the measures of option price sensitivities to key option parameters that may lead to more effective hedging and speculative strategies using currency options. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:265–291, 2000
3
2000
20
03
Journal of Futures Markets
265
291
http://hdl.handle.net/
Ghulam Sarwar
Timothy Krehbiel
oai:RePEc:wly:jfutmk:v:25:y:2005:i:9:p:893-9162015-03-11RePEc
article
The response of volume and returns to the information shocks in China's commodity futures markets
This study investigates the response of returns and volume to different information shocks in China's commodity futures markets using bivariate moving average representation (BMAR) and bivariate vector autoregression (BVAR) methodologies. Consistent with the conclusions from stock market studies that have used these methodologies, it is found that the informational/permanent components are the dominant components for returns movements, and the noninformational/transitory components are the dominant components for trading volume. It is also found that the market response of copper futures improved during the sample period, and the market responses of actively traded futures (copper and soybeans) are better than those of the less actively traded futures (aluminum and wheat). © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:893–916, 2005
9
2005
25
09
Journal of Futures Markets
893
916
http://hdl.handle.net/
Gongmeng Chen
Michael Firth
Yu Xin
oai:RePEc:wly:jfutmk:v:14:y:1994:i:5:p:531-5432015-03-11RePEc
article
Interest rate futures: Evidence on forecast power, expected premiums, and the unbiased expectations hypothesis
5
1994
14
08
Journal of Futures Markets
531
543
http://hdl.handle.net/
Tim Krehbiel
Lee C. Adkins
oai:RePEc:wly:jfutmk:v:24:y:2004:i:1:p:1-12015-03-11RePEc
article
Editor's note
1
2004
24
01
Journal of Futures Markets
1
1
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:24:y:2004:i:4:p:337-3572015-03-11RePEc
article
The index futures markets: Is screen trading more efficient?
This article uses a nonparametric test based on the arc‐sine law (see, e.g., Feller, 1965 ), which involves comparing the theoretical distribution implied by an intraday random walk with the empirical frequency distribution of the daily high/low times, in order to address the question of whether the abandonment of pit trading has been associated with greater market efficiency. If market inefficiencies result from flaws in the market microstructure of pit trading, they ought to have been eliminated by the introduction of screen trading. If, on the other hand, the inefficiencies are a reflection of investor psychology, they are likely to have survived, unaffected by the changeover. We focus here on four cases. Both the FTSE‐100 and CAC‐40 index futures contracts were originally traded by open outcry and have moved over to electronic trading in recent years, so that we are able to compare pricing behavior before and after the changeover. The equivalent contracts in Germany and Korea, on the other hand, have been traded electronically ever since their inception. Our results overwhelmingly reject the random‐walk hypothesis both for open‐outcry and electronic‐trading data sets, suggesting there has been no increase in efficiency as a result of the introduction of screen trading. One possible explanation consistent with our results would be that the index futures market is characterized by intraday overreaction. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:337–357, 2004
4
2004
24
04
Journal of Futures Markets
337
357
http://hdl.handle.net/
Laurence Copeland
Kin Lam
Sally‐Ann Jones
oai:RePEc:wly:jfutmk:v:31:y:2011:i:10:p:947-9702015-03-11RePEc
article
On the calibration of mortality forward curves
In 2007, a major investment bank launched a product called “q‐forward,” which may be regarded as a forward contract on a mortality rate. The pricing of mortality forwards is similar to the pricing of other forward‐rate contracts, such as interest‐rate forwards or foreign exchange forwards. In particular, since investors require compensation to take on longevity risk, the forward mortality rate at which q‐forward contracts will trade will be smaller than the expected mortality rate. The relationship between the forward rate and the time to maturity is called a mortality forward curve. In this study, we contribute a method for calibrating mortality forward curves. This method consists of two parts, one of which is the generation of the distribution of future mortality rates, and the other of which is the transformation of the distribution into its risk‐neutral counterpart, using the idea of canonical valuation developed by Stutzer, M. ( 1996 ). To illustrate the method, mortality forward curves for English and Welsh males are calibrated. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
10
2011
31
10
Journal of Futures Markets
947
970
http://hdl.handle.net/
Johnny Siu‐Hang Li
Andrew Cheuk‐Yin Ng
Wai‐Sum Chan
oai:RePEc:wly:jfutmk:v:30:y:2010:i:5:p:409-4312015-03-11RePEc
article
General equilibrium and preference free model for pricing options under transformed gamma distribution
The gamma class of distributions encompasses several important distributions, either as special or limiting cases or through simple transformations. Here we derived closed form and preference free European option pricing formulae for various (transformed) gamma distributions under the general equilibrium RNVR framework. The gamma class of distributions is used historically in hydrology for modelling natural events. Our models can be used to price derivatives associated with these natural phenomena, which will help to encourage greater risk sharing through financial securitization. Our pricing formulae are theoretically sound even if the underlyings and the derivative instruments are not (frequently) traded. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:409–431, 2010
5
2010
30
05
Journal of Futures Markets
409
431
http://hdl.handle.net/
Luiz Vitiello
Ser‐Huang Poon
oai:RePEc:wly:jfutmk:v:1:y:1981:i:1:p:59-762015-03-11RePEc
article
The hedging rationale for a stock index futures contract
1
1981
1
03
Journal of Futures Markets
59
76
http://hdl.handle.net/
Neil S. Weiner
oai:RePEc:wly:jfutmk:v:20:y:2000:i:10:p:889-9102015-03-11RePEc
article
Pascal spreading of short‐term interest rate contracts
This article examines the spreading and pricing of short‐term interest rate futures contracts and shows how traditional types of calendar spread positions can emerge as explicit arbitrage solutions. A specific set of intuitive spreading structures, Pascal’s spreading triangle, arises when the underlying daily risk factors are identified as the stochastic coefficients of a high‐order polynomial approximation to the yield curve. No empirically estimated hedge ratios are required for these arbitrage strategies. Application of this Pascal spread framework to pricing and trading the London International Financial Futures Exchange (LIFFE) short sterling deposit futures market over the 1989 to 1998 sample period revealed that the LIFFE’s short sterling arbitrage sector’s efficiency improved markedly over time. The improvement over the decade coincided with dramatic declines in futures trading transactions costs. As a byproduct, the framework extracts and measures the quantitative impact of the Y2K millennium‐turn pricing distortion on the December 1999 short sterling futures contract. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:889–910, 2000
10
2000
20
11
Journal of Futures Markets
889
910
http://hdl.handle.net/
John J. Merrick, Jr.
oai:RePEc:wly:jfutmk:v:23:y:2003:i:4:p:399-4142015-03-11RePEc
article
Volatility and trading demands in stock index futures
In this study we examine how volatility and the futures risk premium affect trading demands for hedging and speculation in the S&P 500 Stock Index futures contracts. To ascertain if different volatility measures matter in affecting the result, we employ three volatility estimates. Our empirical results show a positive relation between volatility and open interest for both hedgers and speculators, suggesting that an increase in volatility motivates both hedgers and speculators to engage in more trading in futures markets. However, the influence of volatility on futures trading, especially for hedging, is statistically significant only when spot volatility is used. We also find that the demand to trade by speculators is more sensitive to changes in the futures risk premium than is the demand to trade by hedgers. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:399–414, 2003
4
2003
23
04
Journal of Futures Markets
399
414
http://hdl.handle.net/
Ming‐Shiun Pan
Y. Angela Liu
Herbert J. Roth
oai:RePEc:wly:jfutmk:v:8:y:1988:i:3:p:249-2692015-03-11RePEc
article
Hedging with futures in an intertemporal portfolio context
3
1988
8
06
Journal of Futures Markets
249
269
http://hdl.handle.net/
Michael Adler
Jerome Detemple
oai:RePEc:wly:jfutmk:v:26:y:2006:i:10:p:1019-10382015-03-11RePEc
article
Spot‐futures spread, time‐varying correlation, and hedging with currency futures
This article investigates the effects of the spot‐futures spread on the return and risk structure in currency markets. With the use of a bivariate dynamic conditional correlation GARCH framework, evidence is found of asymmetric effects of positive and negative spreads on the return and the risk structure of spot and futures markets. The implications of the asymmetric effects on futures hedging are examined, and the performance of hedging strategies generated from a model incorporating asymmetric effects is compared with several alternative models. The in‐sample comparison results indicate that the asymmetric effect model provides the best hedging strategy for all currency markets examined, except for the Canadian dollar. Out‐of‐sample comparisons suggest that the asymmetric effect model provides the best strategy for the Australian dollar, the British pound, the deutsche mark, and the Swiss franc markets, and the symmetric effect model provides a better strategy than the asymmetric effect model in the Canadian dollar and the Japanese yen. The worst performance is given by the naïve hedging strategy for both in‐sample and out‐of‐sample comparisons in all currency markets examined. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1019–1038, 2006
10
2006
26
10
Journal of Futures Markets
1019
1038
http://hdl.handle.net/
Donald Lien
Li Yang
oai:RePEc:wly:jfutmk:v:35:y:2015:i:4:p:299-2992015-03-11RePEc
article
Editor's Note
4
2015
35
04
Journal of Futures Markets
299
299
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:10:y:1990:i:5:p:505-5172015-03-11RePEc
article
Options and investment strategies
5
1990
10
10
Journal of Futures Markets
505
517
http://hdl.handle.net/
Bernard Morard
Ahmed Naciri
oai:RePEc:wly:jfutmk:v:21:y:2001:i:7:p:681-6922015-03-11RePEc
article
A Note on Loss Aversion and Futures Hedging
This note examines the effect of loss aversion on the futures trading behavior of a short hedger. Using a modified constant‐absolute‐risk‐aversion utility function, I show that loss aversion has no effect in an unbiased futures market. It has different, predictable impacts when the futures market is in backwardation or contango. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 681–692, 2001
7
2001
21
07
Journal of Futures Markets
681
692
http://hdl.handle.net/
Donald Lien
oai:RePEc:wly:jfutmk:v:14:y:1994:i:4:p:475-4922015-03-11RePEc
article
The informational content of USDA crop reports: Impacts on uncertainty and expectations in grain futures markets
4
1994
14
06
Journal of Futures Markets
475
492
http://hdl.handle.net/
Kevin P. McNew
Juan Andres Espinosa
oai:RePEc:wly:jfutmk:v:8:y:1988:i:5:p:575-5882015-03-11RePEc
article
Indeterminacy of price and quantity in futures markets
5
1988
8
10
Journal of Futures Markets
575
588
http://hdl.handle.net/
Margaret A. Monroe
oai:RePEc:wly:jfutmk:v:30:y:2010:i:9:p:846-8732015-03-11RePEc
article
Delivery horizon and grain market volatility
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress period and that there are important differences in the effects across delivery horizons. We also find that price volatility is higher before the harvest starts in most cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:846–873, 2010
9
2010
30
09
Journal of Futures Markets
846
873
http://hdl.handle.net/
Berna Karali
Jeffrey H. Dorfman
Walter N. Thurman
oai:RePEc:wly:jfutmk:v:23:y:2003:i:6:p:561-5762015-03-11RePEc
article
Revisiting the empirical estimation of the effect of margin changes on futures trading volume
This study revisits the empirical estimation of the effect of margin requirements on trading volume. Although theory suggests that margin requirements impose a cost to traders and will therefore likely reduce volume traded, empirical examinations have generally failed to find this association. The contention of this article is that the theory is correct, but empirical estimation has generally neglected to adjust margins for underlying price risk. After adjusting for risk, this analysis finds economically and statistically significant negative effects of margin requirements on trading volume as predicted by theory. This study examined 6 contracts over a 17‐year time period and found that financial futures contracts (gold, Dow Jones, and 10‐Year Treasury Notes) were considerably more sensitive to changes in margin requirements than agricultural futures (wheat, corn, and oats). © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:561–576, 2003
6
2003
23
06
Journal of Futures Markets
561
576
http://hdl.handle.net/
Hans R. Dutt
Ira L. Wein
oai:RePEc:wly:jfutmk:v:23:y:2003:i:7:p:701-7182015-03-11RePEc
article
Futures market equilibrium under Knightian uncertainty
This paper examines the effects of Knightian uncertainty on a commodity futures market within the Newbery‐Stiglitz framework. It is shown that Knightian traders act more conservatively. In a partial trade equilibrium, risk aversion and Knightian uncertainty have qualitatively similar effects on the equilibrium price and the equilibrium trading volume. Full‐trade and no‐trade equilibria are likely to prevail when the producer and the speculator incur different Knightian uncertainty. Herein different impacts of risk aversion and Knightian uncertainty are observed. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:701–718, 2003
7
2003
23
07
Journal of Futures Markets
701
718
http://hdl.handle.net/
Donald Lien
Yaqin Wang
oai:RePEc:wly:jfutmk:v:8:y:1988:i:2:p:243-2472015-03-11RePEc
article
Futures Bibliography
2
1988
8
04
Journal of Futures Markets
243
247
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:3:y:1983:i:3:p:259-2812015-03-11RePEc
article
Preference space evaluation of trading system performance
3
1983
3
09
Journal of Futures Markets
259
281
http://hdl.handle.net/
Norman D. Strahm
oai:RePEc:wly:jfutmk:v:9:y:1989:i:1:p:29-392015-03-11RePEc
article
Hedging canadian corporate debt: A comparative study of the hedging effectiveness of Canadian and U.S. bond futures
1
1989
9
02
Journal of Futures Markets
29
39
http://hdl.handle.net/
Louis Gagnon
Samuel Mensah
Edward H. Blinder
oai:RePEc:wly:jfutmk:v:24:y:2004:i:10:p:909-9212015-03-11RePEc
article
Liquidity constraints and the hedging role of futures spreads
This paper examines the behavior of the competitive firm under price uncertainty in general and the hedging role of futures spreads in particular. The firm has access to a commodity futures market where unbiased nearby and distant futures contracts are transacted. A liquidity constraint is imposed on the firm such that the firm is forced to prematurely close its distant futures position whenever the net interim loss due to its nearby and distant futures positions exceeds a threshold level. This paper shows that the liquidity constrained firm optimally opts for a long nearby futures position and a short distant futures position should the firm be prudent, thereby rendering the optimality of using futures spreads for hedging purposes. This paper further shows that the firm's production decision is adversely affected by the presence of the liquidity constraint. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:909–921, 2004
10
2004
24
10
Journal of Futures Markets
909
921
http://hdl.handle.net/
Kit Pong Wong
oai:RePEc:wly:jfutmk:v:16:y:1996:i:2:p:131-1452015-03-11RePEc
article
Macroeconomic news and the efficiency of international bond futures markets
2
1996
16
04
Journal of Futures Markets
131
145
http://hdl.handle.net/
Kent G. Becker
Joseph E. Finnerty
Kenneth J. Kopecky
oai:RePEc:wly:jfutmk:v:20:y:2000:i:1:p:89-1032015-03-11RePEc
article
Hedge effectiveness: Basis risk and minimum‐variance hedging
1
2000
20
01
Journal of Futures Markets
89
103
http://hdl.handle.net/
Mark G. Castelino
oai:RePEc:wly:jfutmk:v:5:y:1985:i:3:p:453-4542015-03-11RePEc
article
Legal notes
3
1985
5
09
Journal of Futures Markets
453
454
http://hdl.handle.net/
Ronald J. Horowitz
oai:RePEc:wly:jfutmk:v:26:y:2006:i:3:p:209-2412015-03-11RePEc
article
Migration of price discovery in semiregulated derivatives markets
This study investigates the information content of futures option prices when the underlying futures price is regulated and the futures option price is not. The New York Board of Trade (NYBOT) provides the empirical setting for this regulatory mismatch. Many commodity derivatives markets regulate the prices of all derivatives on a single underlying commodity simultaneously. Some exchanges, including the NYBOT, regulate only their futures contracts, leaving the options on these futures contracts unregulated. This study takes a particular interest in the option‐implied futures price when the observed futures price is locked limit. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:209–241, 2006
3
2006
26
03
Journal of Futures Markets
209
241
http://hdl.handle.net/
Anthony D. Hall
Paul Kofman
Steven Manaster
oai:RePEc:wly:jfutmk:v:22:y:2002:i:11:p:1083-11022015-03-11RePEc
article
An empirical examination of the relation between futures spreads volatility, volume, and open interest
This study investigates the relation between petroleum futures spread variability, trading volume, and open interest in an attempt to uncover the source(s) of variability in futures spreads. The study finds that contemporaneous (lagged) volume and open interest provide significant explanation for futures spreads volatility when entered separately. The study also shows that lagged volume and lagged open interest, when entered in the conditional variance equation simultaneously, have greater effect on volatility and substantially reduce the persistence of volatility. This finding seems to support the sequential information arrival hypothesis of Copeland (1976). Finally, the findings of this study also suggest a degree of market inefficiency in petroleum futures spreads. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1083–1102, 2002
11
2002
22
11
Journal of Futures Markets
1083
1102
http://hdl.handle.net/
Paul Berhanu Girma
Mbodja Mougoué
oai:RePEc:wly:jfutmk:v:10:y:1990:i:5:p:497-5042015-03-11RePEc
article
Hedge ratios under inherent risk reduction in a commodity complex
5
1990
10
10
Journal of Futures Markets
497
504
http://hdl.handle.net/
Dah‐Nein Tzang
Raymond M. Leuthold
oai:RePEc:wly:jfutmk:v:27:y:2007:i:8:p:791-8172015-03-11RePEc
article
Richardson extrapolation techniques for the pricing of American‐style options
In this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American options whose exercise boundary is discontinuous) encountered in the original Geske–Johnson methodology. Furthermore, they propose a numerical method, the Repeated‐Richardson extrapolation, which allows the estimation of the interval of true option values and the determination of the number of options needed for an approximation to achieve a given desired accuracy. Using simulation results, our modified Geske–Johnson formula is shown to be more accurate than the original Geske–Johnson formula for pricing American options, especially for nonstandard American options. This study also illustrates that the Repeated‐Richardson extrapolation approach can estimate the interval of true American option values extremely well. Finally, the authors investigate the possibility of combining the binomial Black–Scholes method proposed by M. Broadie and J.B. Detemple (1996) with the Repeated‐Richardson extrapolation technique. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:791–817, 2007
8
2007
27
08
Journal of Futures Markets
791
817
http://hdl.handle.net/
Chuang‐Chang Chang
San‐Lin Chung
Richard C. Stapleton
oai:RePEc:wly:jfutmk:v:28:y:2008:i:10:p:993-10112015-03-11RePEc
article
Realized volatility and correlation in energy futures markets
Using high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard deviation) and the (logarithms of) realized standard deviations appear approximately Gaussian. The (logarithms of) standard deviations exhibit long‐memory, but the realized correlation between the two futures does not, implying rather weak inter‐market linkage in the long run. There is evidence of asymmetric volatility for natural gas but not for crude oil futures. Finally, realized crude oil futures volatility responds with an increase in the weeks immediately before the OPEC events recommending price increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:993–1011, 2008
10
2008
28
10
Journal of Futures Markets
993
1011
http://hdl.handle.net/
Tao Wang
Jingtao Wu
Jian Yang
oai:RePEc:wly:jfutmk:v:17:y:1997:i:5:p:599-6152015-03-11RePEc
article
Hedging efficiency: A futures exchange management approach
5
1997
17
08
Journal of Futures Markets
599
615
http://hdl.handle.net/
Joost M.E. Pennings
Matthew T.G. Meulenberg
oai:RePEc:wly:jfutmk:v:6:y:1986:i:3:p:495-5012015-03-11RePEc
article
Note on initial margin to net asset value: Average values for the commodity pool industry
3
1986
6
09
Journal of Futures Markets
495
501
http://hdl.handle.net/
Ronald W. Cornew
oai:RePEc:wly:jfutmk:v:10:y:1990:i:4:p:377-3952015-03-11RePEc
article
The relative responsiveness to information and variability of storable commodity spot and futures prices
4
1990
10
08
Journal of Futures Markets
377
395
http://hdl.handle.net/
Dean Leistikow
oai:RePEc:wly:jfutmk:v:7:y:1987:i:1:p:103-1072015-03-11RePEc
article
Stable distributions, futures prices, and the measurement of trading performance: A reply
1
1987
7
02
Journal of Futures Markets
103
107
http://hdl.handle.net/
J. Austin Murphy
oai:RePEc:wly:jfutmk:v:16:y:1996:i:2:p:147-1622015-03-11RePEc
article
Intraday return dynamics between the cash and the futures markets in Japan
2
1996
16
04
Journal of Futures Markets
147
162
http://hdl.handle.net/
Yoshio Iihara
Kiyoshi Kato
Toshifumi Tokunaga
oai:RePEc:wly:jfutmk:v:6:y:1986:i:2:p:223-2302015-03-11RePEc
article
Predicting changes in T‐bond futures spreads using implied yields from T‐bill futures
2
1986
6
06
Journal of Futures Markets
223
230
http://hdl.handle.net/
Charles A. Akemann
oai:RePEc:wly:jfutmk:v:15:y:1995:i:2:p:111-1292015-03-11RePEc
article
The welfare costs of Arkansas Best: The inefficiency of asymmetric taxation of hedging gains and losses
2
1995
15
04
Journal of Futures Markets
111
129
http://hdl.handle.net/
Craig Pirrong
oai:RePEc:wly:jfutmk:v:10:y:1990:i:6:p:643-6592015-03-11RePEc
article
The distribution of gold futures spreads
6
1990
10
12
Journal of Futures Markets
643
659
http://hdl.handle.net/
Geoffrey Poitras
oai:RePEc:wly:jfutmk:v:19:y:1999:i:7:p:759-7762015-03-11RePEc
article
Managed futures, positive feedback trading, and futures price volatility
A major issue in recent years is the role that large, managed futures funds and pools play in futures markets. Many market participants argue that managed futures trading increases price volatility due to the size of managed futures trading and reliance on positive feedback trading systems. The purpose of this study is to provide new evidence on the impact of managed futures trading on futures price volatility. A unique data set on managed futures trading is analyzed for the period 1 December 1988 through 31 March 1989. The data set includes the daily trading volume of large commodity pools for 36 different futures markets. Regression results are unequivocal with respect to the impact of commodity pool trading on futures price volatility. For the 72 estimated regressions (two for each market), the coefficient on commodity pool trading volume is significantly different from zero in only four cases. These results constitute strong evidence that, at least for this sample period, commodity pool trading is not associated with increases in futures price volatility. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 759–776, 1999
7
1999
19
10
Journal of Futures Markets
759
776
http://hdl.handle.net/
Scott H. Irwin
Satoko Yoshimaru
oai:RePEc:wly:jfutmk:v:13:y:1993:i:6:p:597-6092015-03-11RePEc
article
Utility maximizing hedge ratios in the extended mean gini framework
6
1993
13
09
Journal of Futures Markets
597
609
http://hdl.handle.net/
Robert W. Kolb
John Okunev
oai:RePEc:wly:jfutmk:v:21:y:2001:i:5:p:429-4462015-03-11RePEc
article
Heterogeneous expectations of traders in speculative futures markets
The representative agent hypothesis is disputable on theoretical grounds because it is inconsistent with observed trading behavior and the existence of speculative markets. In such markets, the representative agent hypothesis implies agents hold homogeneous expectations. If this were true, speculative markets would fail as only one side of the market would be represented, either demand or supply. Nonetheless, the homogeneity assumption has been maintained in the past to ensure tractability because of the difficulty of explicit aggregation across heterogeneous expectations. In this article, we present and apply an approach for analyzing heterogeneity in specific market settings. To do so, our approach specifies an underlying distribution of expectations that is consistent with heterogeneity across expectations. To demonstrate the utility of the approach, we present results from its application to a time series of commodity futures prices. Results are consistent with the conclusion that significant heterogeneity in expectations exists in speculative futures markets. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:429–446, 2001
5
2001
21
05
Journal of Futures Markets
429
446
http://hdl.handle.net/
Robert I. Webb
Darren L. Frechette
Robert D. Weaver
oai:RePEc:wly:jfutmk:v:26:y:2006:i:5:p:466-5022015-03-11RePEc
article
Long‐term information, short‐lived securities
The authors explore strategic trade in short‐lived securities by agents who have private information that is potentially long‐term, but do not know how long their information will remain private. Trading short‐lived securities is profitable only if enough of the private information becomes public prior to contract expiration; otherwise the security will worthlessly expire. How this results in trading behavior fundamentally different from that observed in standard models of informed trading in equity is highlighted. Specifically, it is shown that informed speculators are more reluctant to trade shorter‐term securities too far in advance of when their information will necessarily be made public, and that existing positions in a shorter‐term security make future purchases more attractive. Because informed speculators prefer longer‐term securities, this can make trading shorter‐term contracts more attractive for liquidity traders. The conditions are characterized under which liquidity traders choose to incur extra costs to roll over short‐term positions rather than trade in distant contracts, providing an explanation for why most longer‐term derivative security markets have little liquidity and large bid‐ask spreads. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:465–502, 2006
5
2006
26
05
Journal of Futures Markets
466
502
http://hdl.handle.net/
Dan Bernhardt
Ryan J. Davies
John Spicer
oai:RePEc:wly:jfutmk:v:29:y:2009:i:8:p:713-7352015-03-11RePEc
article
An expanded model for the valuation of employee stock options
The unique characteristics of employee stock options make straightforward applications of traditional option pricing models questionable. This study extends the standard pricing model to account for the dilution effect, the employees' exercise pattern, and the state‐dependent employee forfeiture rate. It also performs comparative analysis of popular existing models and the proposed models. Finally, the impacts of the above‐mentioned factors on the fair value of employee stock options are investigated. The results support the claim that our models reflect the reality better than existing models. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:713–735, 2009
8
2009
29
08
Journal of Futures Markets
713
735
http://hdl.handle.net/
Feng‐Yu Liao
Yuh‐Dauh Lyuu
oai:RePEc:wly:jfutmk:v:16:y:1996:i:1:p:71-802015-03-11RePEc
article
Put‐call parities and the value of early exercise for put options on a performance index
1
1996
16
02
Journal of Futures Markets
71
80
http://hdl.handle.net/
Frans De Roon
Chris Veld
oai:RePEc:wly:jfutmk:v:15:y:1995:i:7:p:833-8592015-03-11RePEc
article
Dax index futures: Mispricing and arbitrage in German markets
7
1995
15
10
Journal of Futures Markets
833
859
http://hdl.handle.net/
Wolfgang Bühler
Alexander Kempf
oai:RePEc:wly:jfutmk:v:24:y:2004:i:12:p:1147-11632015-03-11RePEc
article
Splitting the S&P 500 futures
In this paper we investigate the consequences of the Chicago Mercantile Exchange's 1997 redesign of the S&P 500 futures contract. The focus is on two important measures of exchange efficacy: member proprietary income and outside customer volume. Floor traders did not appear to benefit in their proprietary trading from the redesign—revenue fell after the contract split and doubling of the minimum tick. On the other hand, looking at relative volumes, it appears that customer volume was relatively constant, showing little sensitivity to the increase in tick size, possibly due to an increased use of limit orders by customers, bypassing floor traders. Through this redesign the futures exchange was apparently interested in preserving customer volume in an increasingly competitive index trading environment, not enhancing member noncompetitive proprietary trading revenue. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1147–1163, 2004
12
2004
24
12
Journal of Futures Markets
1147
1163
http://hdl.handle.net/
Jianli Chen
Peter R. Locke
oai:RePEc:wly:jfutmk:v:15:y:1995:i:1:p:39-442015-03-11RePEc
article
A risk‐return measure of hedging effectiveness: A simplification
1
1995
15
02
Journal of Futures Markets
39
44
http://hdl.handle.net/
Cheng‐Kun Kuo
Keng‐Wang Chen
oai:RePEc:wly:jfutmk:v:14:y:1994:i:5:p:545-5732015-03-11RePEc
article
Multiple delivery points, pricing dynamics, and hedging effectiveness in futures markets for spatial commodities
5
1994
14
08
Journal of Futures Markets
545
573
http://hdl.handle.net/
Stephen Craig Pirrong
Roger Kormendi
Philip Meguire
oai:RePEc:wly:jfutmk:v:2:y:1982:i:3:p:243-2542015-03-11RePEc
article
The efficacy of hedging with financial futures: A historical perspective
3
1982
2
09
Journal of Futures Markets
243
254
http://hdl.handle.net/
Bruce N. Wardrep
James F. Buck
oai:RePEc:wly:jfutmk:v:1:y:1981:i:2:p:225-2532015-03-11RePEc
article
Margins and futures contracts
2
1981
1
06
Journal of Futures Markets
225
253
http://hdl.handle.net/
Lester G. Telser
oai:RePEc:wly:jfutmk:v:25:y:2005:i:12:p:1127-11272015-03-11RePEc
article
Editor's note
12
2005
25
12
Journal of Futures Markets
1127
1127
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:19:y:1999:i:8:p:859-8752015-03-11RePEc
article
Hedging with mismatched currencies
This article presents a model of a risk‐averse multinational firm facing risk exposure to a foreign currency cash flow. Forward markets do not exist between the firm's own currency and the foreign currency, but do exist for a third currency. Because a triangular parity condition holds among these three currencies, the available forward markets, albeit incomplete, provide a useful avenue for the firm to indirectly hedge against its foreign exchange rate risk exposure. This article offers analytical insights into the optimal cross‐hedging strategies of the firm. In particular, the results show that separate unbiasedness of the forward markets does not necessarily imply a perfect full hedge that eliminates the entire foreign exchange rate risk exposure of the firm. The optimal cross‐hedging strategies depend largely on the firm's marginal utility function and on the correlation of the random spot exchange rates. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19:859–875, 1999
8
1999
19
12
Journal of Futures Markets
859
875
http://hdl.handle.net/
Udo Broll
Kit Pong Wong
oai:RePEc:wly:jfutmk:v:31:y:2011:i:10:p:915-9462015-03-11RePEc
article
Dominant markets, staggered openings, and price discovery
This study examines information incorporation and price discovery in closely related markets that witness staggered openings. A theoretical model is presented. In this framework, one market, termed dominant, is the venue where most of the price discovery occurs, and the other is termed secondary. The model predicts heightened volatility and order flow in each market when it opens first compared with when it opens second. The effects are predicted to be more pronounced in the dominant market, and is linked to the process of information incorporation. Tests conducted using futures on crude oil (dominant) and gasoline (secondary), two related markets that witness staggered openings, reveal findings consistent with the model's predictions. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
10
2011
31
10
Journal of Futures Markets
915
946
http://hdl.handle.net/
Bahram Adrangi
Arjun Chatrath
Rohan A. Christie‐David
Kiseop Lee
oai:RePEc:wly:jfutmk:v:22:y:2002:i:12:p:1117-11172015-03-11RePEc
article
Editor's note
12
2002
22
12
Journal of Futures Markets
1117
1117
http://hdl.handle.net/
Robert I. Webb
oai:RePEc:wly:jfutmk:v:18:y:1998:i:3:p:265-2792015-03-11RePEc
article
The influence of daily price limits on trading in Nikkei futures
3
1998
18
05
Journal of Futures Markets
265
279
http://hdl.handle.net/
Henk Berkman
Onno W. Steenbeek
oai:RePEc:wly:jfutmk:v:13:y:1993:i:3:p:261-2772015-03-11RePEc
article
Circuit breakers and stock market volatility
3
1993
13
05
Journal of Futures Markets
261
277
http://hdl.handle.net/
G. J. Santoni
Tung Liu
oai:RePEc:wly:jfutmk:v:22:y:2002:i:2:p:95-1222015-03-11RePEc
article
An analysis of the relationship between electricity and natural‐gas futures prices
This article analyzes the relationship between electricity futures prices and natural‐gas futures prices. We find that the daily settlement prices of New York Mercantile Exchange's (NYMEX's) California–Oregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrated with the prices of its natural‐gas futures contract. The coefficient of natural‐gas futures prices in our model of COB electricity futures prices is not significantly different from the coefficient of gas prices in our model of PV electricity although there are differences in the production of electricity in these two service areas. The coefficients in our model do reflect differences in the consumption of electricity in the COB and PV service areas, however. Our trading‐rule simulations indicate that the statistically significant mean reversion found in the relationship between electricity and natural‐gas futures prices also is economically significant in both in‐sample and out‐of‐sample tests. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:95–122, 2002
2
2002
22
02
Journal of Futures Markets
95
122
http://hdl.handle.net/
Gary W. Emery
Qingfeng (Wilson) Liu
oai:RePEc:wly:jfutmk:v:24:y:2004:i:2:p:117-1452015-03-11RePEc
article
A theoretical framework to evaluate different margin‐setting methodologies
The margin system is the first line of defense against the default risk of a clearinghouse. From the perspectives of a clearinghouse, the utmost concern is to have a prudential system to control the default exposure. Once the level of prudentiality is set, the next concern will be the opportunity cost of the investors, because high opportunity cost discourages people from hedging futures, and thus defeats the function of a futures market. In this article, we first develop different measures of prudentiality and opportunity cost. We then formulate a statistical framework to evaluate different margin‐setting methodologies, all of which strike a balance between prudentiality and opportunity cost. Three margin‐setting methodologies, namely, (1) using simple moving averages; (2) using exponentially weighted moving averages; (3) using a GARCH approach, are applied to the Hang Seng Index futures. Keeping the same prudentiality level, it is shown that the one using a GARCH approach by and large gives the lowest average overcharge. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:117–145, 2004
2
2004
24
02
Journal of Futures Markets
117
145
http://hdl.handle.net/
Kin Lam
Chor‐Yiu Sin
Rico Leung
oai:RePEc:wly:jfutmk:v:21:y:2001:i:7:p:633-6532015-03-11RePEc
article
The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks
This article examines the impact of trading in the Dow Jones Industrial Average (DJIA) index futures and futures options on the conditional volatility of component stocks. It investigates the contention that the introduction of futures and futures options on the DJIA could increase volatility in the 30 stocks comprising the DJIA. The conditional volatility of intraday returns for each stock before and after the introduction of derivatives is estimated with the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. Estimated parameters of conditional volatility in prefutures and postfutures periods are then compared to determine if the estimated parameters have changed significantly after the introduction of the various derivatives. The results suggest that the introduction of index futures and futures options on the DJIA has produced no structural changes in the conditional volatility of component stocks. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 633–653, 2001
7
2001
21
07
Journal of Futures Markets
633
653
http://hdl.handle.net/
Shafiqur Rahman
oai:RePEc:wly:jfutmk:v:2:y:1982:i:2:p:141-1492015-03-11RePEc
article
Options, futures, and business risk
2
1982
2
06
Journal of Futures Markets
141
149
http://hdl.handle.net/
James F. Gammill Jr.
James M. Stone
oai:RePEc:wly:jfutmk:v:10:y:1990:i:4:p:327-3382015-03-11RePEc
article
Option pricing with futures‐style margining
4
1990
10
08
Journal of Futures Markets
327
338
http://hdl.handle.net/
Derming Lieu
oai:RePEc:wly:jfutmk:v:23:y:2003:i:5:p:487-5162015-03-11RePEc
article
Analytic approximation formulae for pricing forward‐starting Asian options
In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy ( 1994 ) pricing formula for forward‐starting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula could induce large pricing errors or unreasonable option prices. Second, we derive new analytic approximation formulae for valuing forward‐starting Asian options by adding the second‐order term in the Taylor series. We show that our formulae can accurately value forward‐starting Asian options with a large underlying asset's volatility or a longer time window for the average of the underlying asset prices, whereas the pricing errors for these options with the previously mentioned formula could be large. Third, we derive the hedge ratios for these options and compare their properties with those of plain vanilla options. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:487–516, 2003
5
2003
23
05
Journal of Futures Markets
487
516
http://hdl.handle.net/
Chueh‐Yung Tsao
Chuang‐Chang Chang
Chung‐Gee Lin
oai:RePEc:wly:jfutmk:v:5:y:1985:i:1:p:11-202015-03-11RePEc
article
The systematic downward bias in live cattle futures: A further evaluation
1
1985
5
03
Journal of Futures Markets
11
20
http://hdl.handle.net/
Darwin M. Pluhar
Carl E. Shafer
Thomas L. Sporleder
oai:RePEc:wly:jfutmk:v:15:y:1995:i:1:p:61-672015-03-11RePEc
article
Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note
1
1995
15
02
Journal of Futures Markets
61
67
http://hdl.handle.net/
Tae H. Park
Lorne N. Switzer
oai:RePEc:wly:jfutmk:v:18:y:1998:i:5:p:541-5612015-03-11RePEc
article
Effectiveness of dual hedging with price and yield futures
5
1998
18
08
Journal of Futures Markets
541
561
http://hdl.handle.net/
Dong‐Feng Li
Tomislav Vukina
oai:RePEc:wly:jfutmk:v:14:y:1994:i:1:p:25-362015-03-11RePEc
article
Prediction of future currency exchange rates from current currency futures prices: The case of GM and JY
1
1994
14
02
Journal of Futures Markets
25
36
http://hdl.handle.net/
George Y. Jabbour
oai:RePEc:wly:jfutmk:v:13:y:1993:i:6:p:703-7092015-03-11RePEc
article
Futures bibliography
6
1993
13
09
Journal of Futures Markets
703
709
http://hdl.handle.net/
Robert T. Daigler
oai:RePEc:wly:jfutmk:v:31:y:2011:i:10:p:995-10102015-03-11RePEc
article
The Fed's policy decisions and implied volatility
This study examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The results show that stock market uncertainty is significantly affected by the Fed's policy decisions. In particular, we find that implied volatility generally decreases after FOMC meetings, while the relationship between target rate surprises and market uncertainty appears positive. However, our results also suggest that the apparent positive relationship between policy surprises and implied volatility is mostly driven by the volatility‐reducing effects of negative surprises. We further document that implied volatility is affected by both scheduled and unscheduled policy actions, with the scheduled path surprises having the strongest impact on volatility. Finally, our findings indicate that the impact of monetary policy decisions on implied volatility is more pronounced during periods of expansive policy. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
10
2011
31
10
Journal of Futures Markets
995
1010
http://hdl.handle.net/
Sami Vähämaa
Janne Äijö
oai:RePEc:wly:jfutmk:v:23:y:2003:i:11:p:1047-10732015-03-11RePEc
article
The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector
Asian‐Basket‐type moving‐window contracts are an increasingly used risk‐management tool in the North American hog sector. The moving‐window contract is decomposed into a portfolio of a long Asian‐Basket put and a short Asian‐Basket call option. A projected break‐even price is used to determine the floor price, and then Monte Carlo simulation methods are used to price both a moving‐ and a fixed‐window contract. These methods provide unbiased pricing of fixed‐ and moving‐window hog‐finishing contracts of 1‐year duration. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1047–1073, 2003
11
2003
23
11
Journal of Futures Markets
1047
1073
http://hdl.handle.net/
Renyuan Shao
Brian Roe
oai:RePEc:wly:jfutmk:v:28:y:2008:i:10:p:935-9622015-03-11RePEc
article
Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens
Dynamic representation of spot and three‐month aluminum and copper volatilities is considered. Aluminum and copper are the two most important metals traded in the London Metal Exchange. They share common business cycle factors and are traded under identical contract specifications. The bivariate FIGARCH model, which allows parsimonious representation of long memory volatility processes, is applied. The results show that spot and three‐month aluminum and copper volatilities follow long memory processes, that they exhibit a common degree of fractional integration and that the processes are symmetric. However, there is no evidence that the processes are fractionally cointegrated. This high degree of commonality may result from the common LME trading process. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:935–962, 2008
10
2008
28
10
Journal of Futures Markets
935
962
http://hdl.handle.net/
Isabel Figuerola‐Ferretti
Christopher L. Gilbert
oai:RePEc:wly:jfutmk:v:17:y:1997:i:2:p:131-1602015-03-11RePEc
article
A simple approach to bond option pricing
2
1997
17
04
Journal of Futures Markets
131
160
http://hdl.handle.net/
Jason Z. Wei
oai:RePEc:wly:jfutmk:v:30:y:2010:i:10:p:909-9372015-03-11RePEc
article
The early news catches the attention: On the relative price impact of similar economic indicators
This study investigates why financial markets react to the release of some economic indicators while ignoring others with similar informational content. Based on a Bayesian learning model, we show that the market impact of an economic indicator depends crucially on its early availability. The sequential introduction of the two largest German business surveys provides a natural experiment by which the model's implications are tested empirically. We show that even a large and well‐established indicator loses market impact if a similar indicator is launched and released earlier. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:909–937, 2010
10
2010
30
10
Journal of Futures Markets
909
937
http://hdl.handle.net/
Dieter Hess
Alexandra Niessen
oai:RePEc:wly:jfutmk:v:13:y:1993:i:8:p:865-8722015-03-11RePEc
article
Memory in interest rate futures
8
1993
13
12
Journal of Futures Markets
865
872
http://hdl.handle.net/
Hung‐Gay Fung
Wai‐Chung Lo
oai:RePEc:wly:jfutmk:v:28:y:2008:i:6:p:561-5812015-03-11RePEc
article
Estimation and forecasting of stock volatility with range‐based estimators
This paper examines the estimation and forecasting performance of range‐based volatility estimators for stocks, with two‐scales realized volatility as the benchmark. There is evidence that the daily range‐based estimators provide an efficient and low‐bias alternative to the return‐based estimators. These are not downwardly biased in the presence of negative autocorrelation and low liquidity, as generally suspected. The drift is a major cause of the poor performance of Parkinson's estimator. The forecasts of volatility with these estimators are about as efficient as those with the benchmark itself but are more biased. The forecasts based on realized range are only marginally better on the criterion of bias and are about as efficient. Considering their simplicity and lower data requirement, the daily range‐based estimators appear to be more desirable. These results are particularly relevant for the option valuation and the risk management of derivative markets. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:561–581, 2008
6
2008
28
06
Journal of Futures Markets
561
581
http://hdl.handle.net/
Joshy Jacob
Vipul
oai:RePEc:wly:jfutmk:v:17:y:1997:i:6:p:633-6662015-03-11RePEc
article
Continuously traded options on discretely traded commodity futures contracts
6
1997
17
09
Journal of Futures Markets
633
666
http://hdl.handle.net/
Robert I. Webb
Gyoichi Iwata
Koichi Fujiwara
Hiroshi Sunada
oai:RePEc:wly:jfutmk:v:12:y:1992:i:4:p:447-4572015-03-11RePEc
article
A note on constructing spot price indices to approximate futures prices
4
1992
12
08
Journal of Futures Markets
447
457
http://hdl.handle.net/
John Cita
Donald Lien
oai:RePEc:wly:jfutmk:v:17:y:1997:i:8:p:957-9742015-03-11RePEc
article
Index futures and options and stock market volatility
8
1997
17
12
Journal of Futures Markets
957
974
http://hdl.handle.net/
Andreas Pericli
Gregory Koutmos
oai:RePEc:wly:jfutmk:v:24:y:2004:i:8:p:733-7542015-03-11RePEc
article
Extracting the Expected Path of Monetary Policy From Futures Rates
Federal funds and eurodollar futures contracts are among the most useful instruments for deriving expectations of the future path of monetary policy. However, reading policy expectations from those instruments is complicated by the presence of risk premia. This paper demonstrates how to extract the expected policy path under the assumption that risk premia are constant over time, and under a simple model that allows risk premia to vary. In the latter case, the risk premia are identified under the assumption that policy expectations level out after a long enough horizon. The results provide evidence that the risk premia on these futures contracts vary over time. The impact of this variation is fairly limited for futures contracts with short horizons, but it increases as the horizon of the contracts lengthens. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:733–754, 2004
8
2004
24
08
Journal of Futures Markets
733
754
http://hdl.handle.net/
Brian Sack
oai:RePEc:wly:jfutmk:v:21:y:2001:i:2:p:127-1442015-03-11RePEc
article
Time variation in the correlation structure of exchange rates: high‐frequency analyses
The correlation structure of asset returns is a crucial parameter in risk management as well as in theoretical finance. In practice, however, the true correlation structure between the returns of assets can easily become obscured by time variation in the observed correlation structure and in the liquidity of the assets. We employed a time‐stamped high‐frequency data set of exchange rates, namely, the US$–deutsche mark and the US$–yen exchange rates, to calibrate the observed time variation in the correlation structure between their returns. We also documented time variation in the liquidity structure of these rates. We then attempted to link the observed correlations with the liquidity via an application of an illiquid trading model first developed by Scholes and Williams (1976). We show that the observed correlation structure is strongly biased by the liquidity and that it is possible to effect at least a partial rectification of the otherwise downward‐biased observed correlation. The rectified sample correlation is, therefore, more appropriate for input into models used for forecasting, option pricing, and other risk management applications. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:127–144, 2001
2
2001
21
02
Journal of Futures Markets
127
144
http://hdl.handle.net/
Jayaram Muthuswamy
Sudipto Sarkar
Aaron Low
Eric Terry
oai:RePEc:wly:jfutmk:v:18:y:1998:i:2:p:201-2232015-03-11RePEc
article
Information and volatility in futures and spot markets: The Case of the Japanese yen
2
1998
18
04
Journal of Futures Markets
201
223
http://hdl.handle.net/
Arjun Chatrath
Frank Song
oai:RePEc:wly:jfutmk:v:26:y:2006:i:4:p:343-3682015-03-11RePEc
article
Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data
Extant empirical research has reported nonlinear behavior within arbitrage relationships. In this article, the authors consider potential nonlinear dynamics within FTSE‐100 index and index‐futures. Such nonlinearity can be rationalized by the existence of transactions costs or through the interaction between informed and noise traders. They consider several empirical models designed to capture these alternative dynamics. Their empirical results provide evidence of a stationary basis term, and thus cointegration between index and index‐futures, and the presence of nonlinear dynamics within that relationship. The results further suggest that noise traders typically engage in momentum trading and are more prone to this behavior type when the underlying market is rising. Fundamental, or arbitrage, traders are characterized by heterogeneity, such that there is slow movement between regimes of behavior. In particular, fundamental traders act more quickly in response to small deviations from equilibrium, but are reluctant to act quickly in response to larger mispricings that are exposed to greater noise trader price risk. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:343–368, 2006
4
2006
26
04
Journal of Futures Markets
343
368
http://hdl.handle.net/
David G. McMillan
Alan E. H. Speight
oai:RePEc:wly:jfutmk:v:29:y:2009:i:2:p:95-1132015-03-11RePEc
article
Estimation of physical intensity models for default risk
The estimation of physical intensity processes in the context of default risk is investigated here. Using data from Moody's Corporate Bond Default Database, a term structure of default probabilities for different rating classes is constructed each year from 1970 to 2001. Two specifications used for modeling the dynamics of the (risk‐neutral) intensity process in the bond‐pricing literature are then examined empirically: the Ornstein–Uhlenbeck and square‐root cases. The results reveal that the Ornstein–Uhlenbeck case is not an adequate modeling alternative with a rejection of this specification in five out of seven credit classes and nonsignificant mean reverting behavior for all credit classes. The square‐root case obtains better results with four credit classes out of seven for which this specification cannot be rejected and significant mean reversion parameters in many cases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:95–113, 2009
2
2009
29
02
Journal of Futures Markets
95
113
http://hdl.handle.net/
Michel Denault
Geneviève Gauthier
Jean‐Guy Simonato
oai:RePEc:wly:jfutmk:v:20:y:2000:i:6:p:573-6022015-03-11RePEc
article
Price limits, margin requirements, and default risk
This article investigates whether price limits can reduce the default risk and lower the effective margin requirement for a self‐enforcing futures contract by considering one more period beyond Brennan’s (1986) model to take into account the spillover of unrealized residual shocks due to price limits. The results show that, when traders receive no additional information, price limits can reduce the margin requirement and eliminate the default probability at the expense of a higher liquidity cost due to trading interruptions. Consequently, the total contract cost is higher than of that without price limits. When traders receive additional signals about the equilibrium price, we find that the optimal margin remains unchanged with or without the imposition of price limits, a result that is in conflict with Brennan’s assertion. Hence, we conclude that price limits may not be effective in improving the performance of a futures contract. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:573–602, 2000
6
2000
20
07
Journal of Futures Markets
573
602
http://hdl.handle.net/
Pin‐Huang Chou
Mei‐Chen Lin
Min‐Teh Yu
oai:RePEc:wly:jfutmk:v:26:y:2006:i:11:p:1039-10572015-03-11RePEc
article
Causality in futures markets
This study tests causal hypotheses emanating from theories of futures markets by utilizing methods appropriate for disproving causal relationships with observational data. The hedging pressure theory of futures markets risk premiums, the generalized version of the normal backwardation theory of Keynes, is rejected. Theories predicting that the activity levels of speculators or uninformed traders affect levels of price volatility, either positively or negatively, are also rejected. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1039–1057, 2006
11
2006
26
11
Journal of Futures Markets
1039
1057
http://hdl.handle.net/
Henry L. Bryant
David A. Bessler
Michael S. Haigh
oai:RePEc:wly:jfutmk:v:16:y:1996:i:8:p:899-9132015-03-11RePEc
article
Normal backwardation in short‐term interest rate futures markets
8
1996
16
12
Journal of Futures Markets
899
913
http://hdl.handle.net/
Tim Krehbiel
Roger Collier
oai:RePEc:wly:jfutmk:v:3:y:1983:i:1:p:1-142015-03-11RePEc
article
The pricing of stock index futures
1
1983
3
03
Journal of Futures Markets
1
14
http://hdl.handle.net/
Bradford Cornell
Kenneth R. French
oai:RePEc:wly:jfutmk:v:17:y:1997:i:8:p:855-8712015-03-11RePEc
article
Cash settlement when the underlying securities are thinly traded: A case study
8
1997
17
12
Journal of Futures Markets
855
871
http://hdl.handle.net/
Bradford Cornell
oai:RePEc:wly:jfutmk:v:12:y:1992:i:5:p:493-5092015-03-11RePEc
article
Stock index futures listing and structural change in time‐varying volatility
5
1992
12
10
Journal of Futures Markets
493
509
http://hdl.handle.net/
Sang Bin Lee
Ki Yool Ohk
oai:RePEc:wly:jfutmk:v:30:y:2010:i:2:p:156-1742015-03-11RePEc
article
Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng Index markets
Using one‐contract‐size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Gonzalo, J., and Granger, C. W. J. ( 1995 ) and Hasbrouck, J. ( 1995 ), the results show that small traders contribute about 16.8% to price discovery, a disproportionately high share considering their relatively low trading volume. The results also indicate that the Hang Seng Index futures (HSIF) market still has the largest information share (about 71.0%), whereas the HSI spot market has a 12.2% share. Our results suggest that small traders are not uninformed in the HSIF markets, and play an important role in price discovery. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:156–174, 2010
2
2010
30
02
Journal of Futures Markets
156
174
http://hdl.handle.net/
Libin Tao
Frank M. Song
oai:RePEc:wly:jfutmk:v:11:y:1991:i:2:p:191-2002015-03-11RePEc
article
Stock price volatility: Some evidence from an ARCH model
2
1991
11
04
Journal of Futures Markets
191
200
http://hdl.handle.net/
Brad Baldauf
G. J. Santoni
oai:RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-10282015-03-11RePEc
article
Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility
Recent evidence suggests option implied volatilities provide better forecasts of financial volatility than time‐series models based on historical daily returns. In this study both the measurement and the forecasting of financial volatility is improved using high‐frequency data and long memory modeling, the latest proposed method to model volatility. This is the first study to extract results for three separate asset classes, equity, foreign exchange, and commodities. The results for the S&P 500, YEN/USD, and Light, Sweet Crude Oil provide a robust indication that volatility forecasts based on historical intraday returns do provide good volatility forecasts that can compete with and even outperform implied volatility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1005–1028, 2004
11
2004
24
11
Journal of Futures Markets
1005
1028
http://hdl.handle.net/
Martin Martens
Jason Zein
oai:RePEc:wly:jfutmk:v:11:y:1991:i:3:p:331-3452015-03-11RePEc
article
Measuring seasonalities in commodity markets and the half‐month effect
3
1991
11
06
Journal of Futures Markets
331
345
http://hdl.handle.net/
Nikolaos T. Milonas
oai:RePEc:wly:jfutmk:v:14:y:1994:i:3:p:275-2922015-03-11RePEc
article
Triple‐witching hour, the change in expiration timing, and stock market reaction
3
1994
14
05
Journal of Futures Markets
275
292
http://hdl.handle.net/
Chao Chen
James Williams
oai:RePEc:wly:jfutmk:v:13:y:1993:i:5:p:527-5432015-03-11RePEc
article
Reducing the bias in empirical studies due to limit moves
5
1993
13
08
Journal of Futures Markets
527
543
http://hdl.handle.net/
Kenneth H. Sutrick
oai:RePEc:wly:jfutmk:v:15:y:1995:i:3:p:211-2642015-03-11RePEc
article
The collapse of Metallgesellschaft: Unhedgeable risks, poor hedging strategy, or just bad luck?
3
1995
15
05
Journal of Futures Markets
211
264
http://hdl.handle.net/
Franklin R. Edwards
Michael S. Canter
oai:RePEc:wly:jfutmk:v:11:y:1991:i:2:p:201-2122015-03-11RePEc
article
Tailing the hedge: Why and how
2
1991
11
04
Journal of Futures Markets
201
212
http://hdl.handle.net/
Stephen Figlewski
Yoram Landskroner
William L. Silber
oai:RePEc:wly:jfutmk:v:29:y:2009:i:3:p:244-2692015-03-11RePEc
article
A comparison of alternative approaches for determining the downside risk of hedge fund strategies
In this study, we compare a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through both model‐free and mean/variance and distribution model‐based methods. Certain specifications of the models that we considered can technically address the typical characteristics of hedge fund returns such as autocorrelation, asymmetry, fat tails, and time‐varying variances. We find that conditional mean/variance models coupled with appropriate assumptions on the empirical distribution can improve the prediction accuracy of VaR. In particular, we observed the highest prediction accuracy for the predictions of 1% VaR. We also find that the goodness of ES prediction models is primarily influenced by the distribution model rather than the mean/variance specification. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:244–269, 2009
3
2009
29
03
Journal of Futures Markets
244
269
http://hdl.handle.net/
Daniel Giamouridis
Ioanna Ntoula
oai:RePEc:wly:jfutmk:v:12:y:1992:i:2:p:123-1372015-03-11RePEc
article
Dividends and S&P 100 index option valuation
2
1992
12
04
Journal of Futures Markets
123
137
http://hdl.handle.net/
Campbell R. Harvey
Robert E. Whaley
oai:RePEc:wly:jfutmk:v:18:y:1998:i:3:p:243-2632015-03-11RePEc
article
Price limits, overreaction, and price resolution in futures markets
3
1998
18
05
Journal of Futures Markets
243
263
http://hdl.handle.net/
Haiwei Chen
oai:RePEc:wly:jfutmk:v:25:y:2005:i:10:p:917-9442015-03-11RePEc
article
Pricing foreign equity options under Lévy processes
This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Lèvy process, a method suitable for solving the complex valuation problem is developed. First, to reduce the number of dimensions of the problem, the probability measure is changed to embed some dimensions of the Lèvy process into the pricing measure. Second, to simplify the integral complexity of the discounted terminal payoff, the valuation problem is transformed to Fourier space. The main contribution of this study is that by combining these two methods, the multivariate valuation problem is significantly simplified, and very accurate results are obtained relatively quickly. This powerful method can also be applied to other multivariate pricing problems involving Lèvy processes. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:917–944, 2005
10
2005
25
10
Journal of Futures Markets
917
944
http://hdl.handle.net/
Shian‐Chang Huang
Mao‐Wei Hung
oai:RePEc:wly:jfutmk:v:8:y:1988:i:2:p:211-2282015-03-11RePEc
article
An empirical examination of composite stock index futures pricing
2
1988
8
04
Journal of Futures Markets
211
228
http://hdl.handle.net/
Edward M. Saunders Jr.
Arvind Mahajan
oai:RePEc:wly:jfutmk:v:30:y:2010:i:11:p:1058-10812015-03-11RePEc
article
Economic determinants of default risks and their impacts on credit derivative pricing
This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables have been condensed into a few explanatory factors to summarize the noisy economic system. The impacts on default intensity processes are then examined based on no‐arbitrage pricing constraints. The approximated results show that economic factors indicated credit problems even before the recent subprime mortgage crisis, and economic fundamentals strongly influenced credit conditions. Testing of out‐of‐sample data shows that credit evolution can be identified by dynamic explanatory factors. Consequently, the factor‐based pricing model can either facilitate the evaluation of default probabilities or manage default risks more effectively by quantifying the relationship between economic environment and credit conditions. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
11
2010
30
11
Journal of Futures Markets
1058
1081
http://hdl.handle.net/
Szu‐Lang Liao
Jui‐Jane Chang
oai:RePEc:wly:jfutmk:v:5:y:1985:i:2:p:239-2462015-03-11RePEc
article
Effects of the Economic Recovery Tax Act of 1981 on futures