Table Of Content

THE Journal OF Futures Markets VOLUME 12 ISSUES 1-6 February 1992—December 1992 GH) John Wiley & Sons, Inc. NEW YORK / CHICHESTER / BRISBANE / TORONTO / SINGAPORE Published by John Wiley & Sons, in affiliation with the Center for the Study of Futures Markets, Columbia Business School THE Journal EDITOR OF Mark J. Powers Powers Research Inc. Futures Jersey City, New Jersey Markets EDITORIAL BOARD Steven C. Blank Gordon Gemmill Raymond M. Leuthold University of California The City University Business University of Illinois Davis, California School at Urbana-Champaign London, England Urbana, Illinois Richard Bookstaber Morgan Stanley & Co. Roger Gray Christopher K. Ma New York, New York Food Research Institute Texas Tech University Stanford University Lubbock, Texas Don M. Chance Virginia Polytechnic Institute Stanford, California Anne E. Peck & State University Marvin Hayenga Food Research Institute Blacksburg, Virginia lowa State University Stanford University Bradford Cornell Ames, lowa Stanford, California University of California Scott E. Hein Todd E. Petzel Los Angeles, California Texas Tech University Chicago Mercantile Exchange Robert T. Daigler Lubbock, Texas Chicago, Illinois Florida International University Kandice Kahl Lester Telser Miami, Florida Clemson University University of Chicago Franklin Edwards Clemson, South Carolina Chicago, Illinois Columbia Business School New York, New York Perry J. Kaufman William G. Tomek Wells River Trading Co Cornell University Gerald D. Gay Vermont Ithaca, New York Commodity Futures Trading Commission Jo Powers Washington, D.C. Editor’s Assistant Editorial Production, John Wiley & Sons, Inc. 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Such permission requests Journal of Futures Markets, 57 Gienmere Drive, Chatham, and other permission inquiries should be addressed to the New Jersey 07928 Permissions Department. Opinions expressed here are those of the authors and do Subscription price (1992): $275.00 per volume. Outside not necessarily represent those of the editors, Columbia Busi- U.S.A.: $350.00 (postage and handling included). Please ness School, or the publisher allow four weeks to process a change in address. For subscrip- The contents of this journal are listed in ASCA, Current tion inquiries, please call customer service at (212) 850-6645 Contents/Social & Behavioral Sciences, Social Sciences Citation or write to the above address. Index, and Public Affairs Information Service Bulletin. This journal is printed on acid-free paper. THE Journal or Futures Markets Volume 12 1992 Contents The Profitability of Volatility Spreads around Information Releases MARGARET A. MONROE I] The Significance of Hedging Capital Requirements STEVEN C. BLANK 11 Application of Mean-Variance Analysis to Broad-Based Futures Contracts DA-HSIANG DONALD LIEN 19 Minimum Variance Hedge Ratios for Stock Index Futures: Duration and Expiration Effects MARY LINDAHL 33 Hedge Ratios under Inherent Risk Reduction in a Commod- ity Complex: An Interpretation JACQUES A. SCHNABEL 55 Supplementary Information and Markov Processes in Soybean Futures Trading STEVEN C. TURNER, JACK E. HOUSTON, and TOMMIE L. SHEPHERD 61 Is Normal Backwardation Normal? ROBERT W. KOLB 75 A Redetermination of Hedging Strategies Using Foreign Currency Futures Contracts and Forward Markets A. F. HERBST, P.E. SWANSON, and S.C. CAPLES 93 VOLUME CONTENTS / 731 Optimal Futures Positions for Life Insurance Companies HAMID RAHMAN and MOHAMMAD NAJAND 105 Futures Bibliography edited by ROBERT T. DAIGLER 117 Number 2, April Dividends and S&P 100 Index Option Valuation CAMPBELL R. HARVEY and ROBERT E. WHALEY 123 Two-Step Testing Procedure for Price Discovery Role of Futures Prices JING QUAN 139 Arbitrage and Price Behavior of the Nikkei Stock Index Futures KIAN-GUAN LIM 151 Hedge Period Length and Ex-Ante Futures Hedging Effectiveness: The Case of Foreign-Exchange Risk Cross Hedges BRUCE A. BENET 163 An Empirical Evaluation of the Extended Mean-Gini Coefficient for Futures Hedging ROBERT W. KOLB and JOHN OKUNEV 177 Hedge Effectiveness: Basis Risk and Minimum- Variance Hedging MARk G. CASTELINO 187 Rolling Over Futures Contracts: A Note CHRISTOPHER K. MA, JEFFREY M. MERCER, and MATTHEW A. WALKER 203 732 | VOLUME CONTENTS Ex-Ante Hedging Strategy Selection Using Foreign- Exchange-Rate Forecasting Models JERRY A. HAMMER 219 Effect of Institutional Realities on Dynamic Hedging Performance for a Grain Producer STEVE MARTINEZ and KELLY D. ZERING 237 Erratum 252 Number 3, June Robustness Results for Regression Hedge Ratios: Futures Contracts with Multiple Deliverable Grades P.V. VISWANATH and SRIS CHATTERJEE 253 Estimating the Volatility of S&P 500 Futures Prices Using the Extreme-Value Method JAMES B. WIGGINS 265 Option-Based Evidence of the Nonstationarity of Expected S&P 500 Futures Price Distributions BRUCE J. SHERRICK, SCOTT H. IRWIN, and D. LYNN FORSTER 275 Evidence of Chaos in Commodity Futures Prices GREGORY P. DeCOSTER, WALTER C. LABYS, and DOUGLAS W. MITCHELL 291 Hedging with Forecasting: A State—Space Approach to Modeling Vector-Valued Time Series TOMISLAV VUKINA 307 A Reexamination of the Systematic Downward Bias in Live Cattle Futures Prices EMMETT ELAM and CHAW WAYOOPAGTR 329 VOLUME CONTENTS / 733 Constructing Accurate Cash Settlement Indices: The Role of Index Specifications JOHN CITA and DONALD LIEN 339 Limit Moves and Price Resolution: A Reply CHRISTOPHER K. MA, RAMESH P. RAO, and R. STEPHEN SEARS 361 Number 4, August Intraday Patterns in the S&P 500 Index Futures Market PETER D. EKMAN 365 The Effects of Amendments to Rule 80A on Liquidity, Volatility, and Price Efficiency in the S&P 500 Futures GREGORY J. KUSERK, PETER R. LOCKE, and CHERA L. SAYERS 383 A Multiperiod Modei for the Selection of a Futures Portfolio JOHN F. MARSHALL and ANTHONY F. HERBST 411 Dependence in Commodity Prices RICHARD L. PETERSON, CHRISTOPHER K. MA, and ROBERT J. RITCHEY 429 A Note on Constructing Spot Price Indices to Approximate Futures Prices JOHN CITA and DONALD LIEN 447 The Theoretical Source of Autocorrelation in Forward and Futures Price Relationships MICHAEL A. POLAKOFF and FERNANDO DIZ 459 Futures Prices Are not Stable-Paretian Distributed DONALD W. GRIBBIN, RANDY W. HARRIS, and HON-SHIANG LAU 475 734 | VOLUME CONTENTS Futures Bibliography edited by ROBERT T. DAIGLER 489 Erratum 491 Number 5, October Stock Index Futures Listing and Structural Change in Time-Varying Volatility SANG BIN LEE and KI YOOL OHK 493 Hedging with Synthetics, Foreign-Exchange Forwards, and the Export Decision UDO F. BROLL and JACK E. WAHL 511 Trading Noise, Adverse Selection, and Intraday Bid—Ask Spreads in Futures Markets CHRISTOPHER K. MA, RICHARD L. PETERSON, and R. STEPHEN SEARS 519 A New Look at Interest Rate Futures Contracts REN-RAW CHEN 539 Optimal Weights and International Portfolio Hedging with U.S. Dollar Index Futures: An Empirical Investigation STEVEN KRULL and ANOOP RAI 549 The Behavior of Oil Futures Returns around OPEC Conferences RICHARD DEAVES and ITZHAK KRINSKY 563 Impact of the Price Adjustment Process and Trading Noise on Return Patterns of Grain Futures SHI-MIIN LIU, SARAHELEN THOMPSON, and PAUL NEWBOLD 575 VCLUME CONTENTS / 735 A Note on the Effect of No-Arbitrage Conditions DA-HSIANG DONALD LIEN 587 The Informational Role of End-of-the-Day Returns in Stock Index Futures ANTHONY F. HERBST and EDWIN D. MABERLY 595 Futures Bibliography edited by ROBERT T. DAIGLER 603 Number 6, December Inter-Currency Transmission of Volatility in Foreign Exchange Futures MOHAMMAD NAJAND, HAMID RAHMAN, and KENNETH YUNG 609 Bid—Ask Spreads in Financial Futures PAUL A. LAUX and A.J . SENCHACK, JR. 621 Do Futures Markets React Efficiently to Predictable Errors in Government Announcements? DAVID E. RUNKLE 635 The Effect of Futures Trading on the Stability of Standard and Poor 500 Returns AVRAHAM KAMARA, THOMAS W. MILLER, JR., and ANDREW F. SIEGEL 645 Does the S&P 500 Futures Mispricing Series Exhibit Nonlinear Dependence across Time? RAVI VAIDYANATHAN and TIM KREHBIEL 659 Memories, Heteroscedasticity, and Price Limit in Currency Futures Markets G. WENCHI KAO and CHRISTOPHER K. MA 679 736 / VOLUME CONTENTS Optimal Hedging with Futures Contracts: The Case for Fixed-Income Portfolios ERIC BRIYS and DAN PIEPTEA 693 Variability in Soybean Futures Prices: An Integrated Framework DEBORAH H. STREETER and WILLIAM G. TOMEK 705 Volume Contents 731 Author Index 739 VOLUME CONTENTS | 737