Table Of ContentCONTENTS
Number 1, February 1998
Extracting Market Views from the Price of Options
on Futures ]
GREGORY M. MARTINEZ
The Mispricing of Callable U.S. Treasury Bonds:
A Closer Look 35
BRADFORD D. JORDAN, SUSAN D. JORDAN, and DAVID R. KUIPERS
Volume and Price Relationships: Hypotheses and Testing
for Agricultural Futures 53
\. G. MALLIARIS and JORGE L. URRUTIA
Conditional Information: When Are Pork Belly Cold Storage
Reports Informative? 77 3 >
THOMAS L. MANN and RICHARD DOWEN
Volume Relationships among Types of Traders in the Financial
Futures Markets 9]
MARILYN K. WILEY and ROBERT T. DAIGLER
Covered Arbitrage in Foreign Exchange Markets with Forward
Forward Contracts in Interest Rates 115
DILIP K. GHOSH
Number 2, April 1998
International Linkages in Euromark Futures Markets:
Information Transmission and Market Integration 129
YIUMAN TSI
The Effects of Stock Index Futures Trading on Stock Index
Volatility: An Analysis of the Asymmetric Response
of Volatility to News 15]
ANTONIOS ANTONIOU, PHIL HOLMES, AND RICHARD PRIESTLEY
Valuation of a European Futures Option in the
BIFFEX Market 167
JOSTEIN TVED1
\ Test of the Cost-of-Carry Relationship Using the London
Metal Exchange Lead Contract 177
RICHARD HEANEY
Information and Volatility in Futures and Spot Markets:
The Case of the Japanese Yen 201
ARJUN CHATRATH and FRANK SONG
Options Trading when the Underlying Market
is Not Transparent 225
JOHN BOARD and CHARLES SUTCLIFFI
Number 3, May 1998
Price Limits, Overreaction, and Price Resolution
in Futures Markets 243
HAIWEI CHEN
The Influence of Daily Price Limits on Trading
in Nikkei Futures 265
HENK BERKMAN and ONNO W. STEENBEEK
Liquidity without Volume. II. Using Block Orders
to Measure Market Resiliency 281
DANA R. CLYMAN and RICHARD JAYCOBS
An Examination of the Relationship between Stock Index
Cash and Futures Markets:
A Cointegration Approach 297
MICHAEL A. PIZZI, ANDREW J]. ECONOMOPOULOS, and HEATHER M. O'’NEILI
The Impact of Warrant Introductions on the Underlying Stocks,
with a Comparison to Stock Options 307
PER ALKEBACK and NICLAS HAGELIN
The Mispricing of Callable U.S. Treasury Bonds: A Note 329
PETER CARAYANNOPOULOS
Concentrated Trading in the Foreign Exchange Futures Markets:
Discretionary Liquidity Trading or Market Closure? 343
MICHAEL F. FERGUSON, STEVEN C. MANN, and LEONARDJ . SCHNECK
Number 4, June 1998
An Empirical Test of the Hull-White Option Pricing Model 363
CHARLES CORRADO and TIE SL
A Bivariate Generalized Autoregressive Conditional
Heteroscedasticity-in-Mean Study of the Relationship between
Return Variability and Trading Volume in
International Futures Markets 379
MICHAEL JACOBS, JR. and JOSEPH ONOCHII
Return-Volume Dynamics in Futures Markets 399
AHMET E. KOCAGIL and YOCHANAN SHACHMUROVI
The Emergence of a Futures Market: Mungbeans on the
China Zhengzhou Commodity Exchange 427
JEFFREY WILLIAMS, ANNE PECK, ALBERT PARK, and SCOTT ROZELLI
Hedging Hard Red Winter Wheat: Kansas City
versus Chicago 449
B. WADE BRORSEN, DARREN W. BUCK, and STEPHEN R. KOONTZ
The Bid-Ask Spread on Stock Index Options: An Ordered
Probit Analysis 467
OWAIN AP GWILYM, ANDREW CLARE, and STEPHEN THOMAS
Number 5, August 1998
Spread Options, Exchange Options, and Arithmetic
Brownian Motion 487
GEOFFREY POITRAS
Linear and Nonlinear Granger Causality: Evidence from
the U.K. Stock Index Futures Market 519
ABHAY ABHYANKAR
Effectiveness of Dual Hedging with Price and Yield Futures 541
DONG-FENG LI and TOMISLAV VUKINA
Is After-Hours Trading Informative?
CARLOS A. ULIBARRI
Seasonality in Petroleum Futures Spreads 581]
PAUL BERHANU GIRMA and ALBERT S. PAULSON
How to Finance your Investment Opportunity Internally:
A Note 599
ENRICO PENNINGS
Number 6, September 1998
Stochastic Volatility Functions Implicit in Eurodollar
Futures Options 605
KARAN BHANOT
Stochastic Dominance Arguments and the Bounding
of the Generalized Concave Option Price 629
CLAUDE HENIN and NATHALIE PISTRI
Assessing Inefficiency in the Futures Markets 671
E. A. OLSZEWSKI
Hedging Time-Varying Downside Risk
DONALD LIEN and YIU KUEN TSI
Design, Pricing, and Returns of Short-Term Hog
Marketing Window Contracts 723
JAMES UNTERSCHULTZ, FRANK NOVAK, DONALD BRESEE,
and STEPHEN KOONTZ
Number 7, October 1998
The Profitability of Index Futures Arbitrage: Evidence
from Bid-Ask Quotes 743
KEE-HONG BAE, KALOK CHAN, and YAN-LEUNG CHEUNG
An Analysis of the Profiles and Motivations of Habitual
Commodity Speculators 765
W. BRUCE CANOLES, SARAHELEN THOMPSON, SCOTT IRWIN,
and VIRGINIA GRACE FRANCI
Asymmetric Information in Commodity Futures Markets:
Theory and Empirical Evidence 803
STYLIANOS PERRAKIS and NABIL KHOURY
The Exchange Rate Crisis of September 1992 and the Pricing
of Italian Financial Futures 827
GIULIO CIFARELLI
\re Regression Approach Futures Hedge Ratios Stationary? 851
ROBERT FERGUSON and DEAN LEISTIKOW
\ Note on a Risk-Return Measure of Hedging Effectiveness 867
SUDHAKAR SATYANARAYAN
Number 8, December 1998
Regime Switching and Cointegration Tests of the Efficiency
of Futures Markets 871
YING-FOON CHOW
Short Selling, Unwinding, and Mispricing
ALEXANDER KEMPI
Dynamic Hedging of Commercial Paper with T-Bill Futures 925
GREGORY KOUTMOS and ANDREAS PERICLI
Noninformative and Informative Tests of Efficiency in Three
Energy Futures Markets 939
EMILIO PERONI and ROBERT MCNOWN
Commodity Futures Trading Performance Using Neural
Network Models versus ARIMA Models 965
CHRISPIN NTUNGO and MILTON BOYD
Returns and Volatility in the Kuala Lumpur Crude
Palm Oil Futures Market 985
KENG YAP LIEW and ROBERT D. BROOKS
Author Index 1003
