Table Of Content

CONTENTS Number 1, January 2000 THE MILLENNIUM ISSUE | ditor’s Note ROBERT lL. WEBB Introduction VIARK J. POWERS lhe Relationship between Volume and Price Variability in Futures Markets 5 BRADFORD CORNELI Cash Settlement of Futures Contracts: An Economic Analysis 19 KENNETH D. GARBADE and WILLIAM L. SILBER Portfolio Insurance Trading Rules 4] RICHARD BOOKSTABER and JOSEPH A. LANGSAM \ Theory of Negative Prices for Storage 59 BRIAN D. WRIGHT and JEFFREY C. WILLIAMS Estimating Time-Varying Optimal Hedge Ratios on Futures Markets 73 ROBERT |]. MYERS Hedge Effectiveness: Basic Risk and Minimum- Variance Hedging 89 MARK G. CASTELINO Number 2, February 2000 Market Volatility and the Demand for Hedging in Stock Index Futures 105 ERIC CHANG, RAY Y. CHOU, and EDWARD F. NELLING lime Series Volatility of Commodity Futures Prices 127 JANE BLACK and IAN TONKS Pricing Dynamics of Index Options and Index Futures in Hong Kong before and during the Asian Financial Crisis 145 LOUIS T. W. CHENG, JOSEPH K. W. FUNG, and KAM C. CHAN Early Exercise of American Put Options: Investor Rationality on the Swedish Equity Options Market 167 MALIN ENGSTROM, LARS NORDEN, and ANDERS STROMBERG The Risk Management Effectiveness of Multivariate Hedging Models in the U.S. Soy Complex 189 ROBERT A. COLLINS Number 3, March 2000 lhe Role of Floor Brokers in the Supply of Liquidity: An Empirical Analysis 205 HANK BERKMAN and LAURA HAYES Modes of Fluctuation in Metal Futures Prices 219 THOMAS ]. URICH Effects of Reduced Government Deficiency Payments on Post-Harvest Wheat Marketing Strategies 243 BRIAN D. ADAM, STEVEN BETTS, and B. WADE BRORSEN Empirical Performance of Alternative Pricing Models of Currency Options 265 GHULAM SARWAR and TIMOTHY KREBHIEI Pricing Eurodollar Futures Options Using the BDT Term Structure Model: The Effect of Yield Curve Smoothing 293 TURANG . BALI and AHMET K. KARAGOZOGLI Number 4, April 2000 Che Intraday Distribution of Volatility and the Value of Wildcard Options 307 PAUL DAWSON Integration and Arbitrage in the Spanish Financial Markets \n Empirical Approach 32] ALEJANDRO BALBAS, INAKI R. LONGARELA, and ANGEL PARDO Response to Price and Production Risk: The Case of Australian Wheat 345 ALICIA N. RAMBALanDd IPH IL SIMMONS Hedging Downside Risk under Asymmetric Taxation DONALD LIEN and MICHAEL METZ Optimal Hedging under Nonlinear Borrowing Cost, Progressive Tax Rates, and Liquidity Constraints 3_7_—5- JOAQUIN ARIAS, B. WADE BRORSEN, and ARDIAN HARRI Production and Hedging under Knightian Uncertainty DONALD LIEN Number 5, May 2000 Lower-boundary Violations and Market Efficiency: Evidence from the German DAX-index Options Market 405 STEFAN MITENIK and SASCHA RIEKEN Intra-Day Volatility ¢ omponents in FTSE-100 Stock Index Futures 425 ALAN E. H. SPEIGHT, DAVID G. MCMILLAN, and OWAIN AP GWILYM Examining Futures Price Changes and Volatility on the lrading Day after a Limit-Lock Day 445 CHUL WOO PARK The Lead—Lag Relationship between Equities and Stock Index Futures Markets around Information Releases 467 ALEX FRINO, TERRY WALTER, and ANDREW WESI Efficient Use of Commodity Futures in Diversified Portfolios 489 GERALD R. JENSEN, ROBERT R. JOHNSON, and JEFFREY M. MERCER Number 6, July 2000 Bernoulli Speculator and Trading Strategy Risk ABRAHAM LIOUI and PATRICE PONCET Memory in Returns and Volatilities of Futures’ Contracts 52 NUNO CRATO and BONNIE K. RAY Cointegration, Unbiased Expectations, and Forecasting in the BIFFEX Freight Futures Markets $45 MICHAEL S. HAIGH Price Limits, Margin Requirements, and Default Risk PIN-HUANG CHOU, MEI-CHEN LIN, and MIN-TEH YL Number 7, August 2000 The Cost of Carry Model and Regime Shifts in Stock Index Futures Markets: An Empirical Investigation 603 LUCIO SARNO and GIORGIO VALENTI Pricing American Options with Stochastic Volatility: Evidence from S&P 500 Futures Options 625 LIM KIAN GUAN and GLO XNIAOOIANG Stock Index Futures Trading and Volatility in International Equity Markets 661 HUSEYIN GULEN and STEWART MAYHEW lransactions Data lests of Efficiency: An Investigation in the Singapore Futures Markets 687 VIAHENDRA RA] Number 8, September 2000 Standard and Poor's Depository Receipts and the Performance of the S&P 500 Index Futures Market 705 LORNE N. SWITZER, PAULA L. VARSON, and SAMIA ZGHIDI Modeling the Conditional Mean and Variance of the Short Rat Using Diffusion, GARCH, and Moving Average Models 717 IURANG . BALI Determinants of Endogenous Price Risk in Corn anc Wheat Futures Markets 7 p~»q I,e BARRY Kk. GOODWIN and RANDY SCHNEPI Futures Hedging when the Structure of the Underlying Asset Changes: The Case of the BIFFEX Contract 5 MANOLIS G. KAVUSSANOS and NIKOS K. NOMIKOS Number 9, October 2000 Normal Backwardation Is Normal 803 JOELLE MIFFRI Optimal Hedging of Contingent Exposure: The Importance of a Risk Premium 823 SVEIN-ARNE PERSSON and TORRES TROVIK Exports and Hedging Exchange Rate Risks: The Multi-Country Case 843 AXEL F. A. ADAM-MULLER The Motivation for Hedging Revisited 865 JOOST M. E. PENNINGS and RAYMOND M. LEUTHOLD Number 10, November 2000 SPECIAL ISSUE ON TRADING Editor's Note 88 ROBERT |. WEBB Pascal Spreading of Short-Term Interest Rate Contracts 889 JOHN J. MERRICK, JR lrading and Hedging in S&P 500 Spot and Futures Markets Using Genetic Programming 911 JUN WANG [rading Volume, Bid—Ask Spread, and Price Volatility in Futures Markets 943 GEORGE H. K. WANG and JOT YAL The Relationship between Index Option Moneyness and Relative Liquidity 971 CHERI ETLING and THOMAS W. MILLER, JR. Author Index 99 |