Table Of Content

CONTENTS 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