Table Of Content

UTTHUE RLJO U N ARL KOFE T \ Author Index to Volume 23 \libo, E., see Gwilym, O.A. De Roon, F.A., see Veld-Merkoulova, Y.V. Ding, D.K., and Charoenwong, C., Bid- Barrett, C.L., see Shawky, H.A. Ask Spreads, Volatility, Quote Revi- Beaulieu, M.-C., Ebrahim, S.K., and sions, and Trades of Thinly Traded Fu- Morgan, 1.G., Does Tick Size Influence tures Contracts, 455 Price Discovery? Evidence from the Diz, F., Commodity Trading Advisors’ Toronto Stock Exchange, 49 Leverage and Reported Margin-to- Bollen, N.P.B., Smith, T., and Whaley, Equity Ratios, 1003 R.E., Optimal Contract Design: For Draper, P., and Fung, J.K.W., Discre- Whom?, 719 tionary Government Intervention and the Mispricing of Index Futures, 1159 Cadle, J., see Poomimars, P. Duan, J.-C., Gauthier, G., Sasseville, C., Chang, C.-C., see Tsao, C.Y. and Simonato, J.-G., Approximating Chang, C.W., and Chang, J.S.K., American Option Prices in the GARCH Optimum Futures Hedge in the Framework, 915 Presence of Clustered Supply and Dueker, M., and Miller, Jr., T.W., Directly Demand Shocks, Stochastic Basis, and Measuring Early Exercise Premiums Firm's Costs of Hedging, 1209 Using American and European S&P Chang, J.S.K., see Chang, C.W. 500 Index Options, 287 Charoenwong, C., see Ding, D.k. Dutt, H.R., and Wein, L.L., On the Ade- Chiarella, C., and T6, T.-D., The Jump quacy of Single-Stock Futures Margin- Component of the Volatility Structure ing Requirements, 989 of Interest Rate Futures Markets: An — , and — —., Revisiting the Empiri- International Comparison, 1125 cal Estimation of the Effect of Mar- Chou, P.-H., Lin, M.-C., and Yu, M.-T., gin Changes on Futures Trading The Effectiveness of Coordinating Volume, 561 Price Limits Across Futures and Spot Markets, 577 Ebrahim, S.K., see Beaulieu, M.-C. Chow, Y.-F., Yung, H.H.M., and Zhang, H., Expiration Day Effects: The Case of Fehle, F., The Components of Interest Hong Kong, 67 Rate Swap Spreads: Theory and Inter- Covrig, V., and Low, B.S., The Quality of national Evidence, 347 Volatility Traded on the Over-the- Fink, J]., An Examination of the Effec- Counter Currency Market: A Multiple tiveness of Static Hedging in the Pres- Horizons Study, 261 ence of Stochastic Volatility, 859 Author Index Fung, J.K.W., see Draper, P. Lim, K.-G., and Terry, E., The Valuation of Multiple Stock Warrants, 517 Gauthier, G., see Duan, J.-C. Lin, C.-G., see Tsao, CY. Gay, G.D., Nam, J., and Turac, M., On Lin, M.-C., see Chou, P.-H. the Optimal Mix of Corporate Hedging Linn, $.C., and Stanhouse, B.E., The Instruments: Linear Versus Nonlinear Economic Advantage of Learners in a Derivatives, 217 Spot/Futures Market, 151 Giot, P., The Information Content of Lioui, A., and Poncet, I» ., General Equi- Implied Volatility in Agricultural librium Pricing of Nonredundant For- Commodity Markets, 441 ward Contracts, 817 Gwilym, O.A., and Alibo, E., Decreased Liu, A., see Pan, M.-S. Price Clustering in FTSE100 Futures Low, B.S., see Covrig, V. Contracts Following a Transfer from Luu, J.C., and Martens, M., Testing the Floor to Electronic Trading, 647 Mixture-of-Distributions Hypothesis Using "Realized" Volatility, 661 Harris, R.D.F., and Shen, J., Robust Lyuu, Y.-D., see Kao, C.-H. Estimation of the Optimal Hedge Ra- tio, 799 Marathe, A., see Shawky, H.A. Martens, M., see Luu, J.C. Illueca, M., and LaFuente, J.A., The Mayhew, S., and Stivers, C., Stock Return Effect of Spot and Futures Trading on Dynamics, Option Volume, and the In- Stock Index Market Volatility: A formation Content of Implied Volatil- Nonparametric Approach, 841 ity, 615 Meneu, V., and TorrO, H., Asymmetric Kao, C.-H., and Lyuu, Y.-D., Pricing of Covariance in Spot-Futures Markets, Moving-Average-Type Options with Ap- 1019 plications, 415 Miller, Jr., T.W., see Dueker, M. Moreno, M., A Two-Mean Reverting- LaFuente, J.A., see Illueca, M. Factor Model of the Term Structure of Li, A., see Lien, D. Interest Rates, 1075 Liao, S.-L., and Wang, C.-W., The Valu- Morgan, 1I.G., see Beaulieu, M.-C. ation of Reset Options with Multiple Strike Resets and Reset Dates, 87 Nam, J., see Gay, G.D. Liao, S.-L., see Wang, M.-C. Nofsinger, J.R., and Prucyk, B., Option Lien, D., and Li, A., Futures Hedging Volume and Volatility Response to Under Mark-to-Market Risk, 389 Scheduled Economic News Re- , and Wang, Y., Disappointment leases, 315 Aversion Equilibrium in a Futures Market, 135 Pan, M.-S., Liu, A., and Roth, H.J., , and , Futures Market Equi- Volatility and Trading Demands in librium Under Knightian Uncer- Stock Index Futures, 399 tainty, 701 Poncet, P., see Lioui, A. , and Yang, L., Options Expiration Poomimars, P., Cadle, J., and Theobald, Effects and the Role of Individual M., Futures Hedging Using Dynamic Share Futures Contracts, | 107 Models of the Variance/Covariance . The Effect of Liquidity Structure, 241 Constraints on Futures Hedging, 603 Prucyk, B., see Nofsinger, J.R. TorrO, H., see Meneu, V. Roe, B., see Shao, R. Roth, H.J., see Pan, M.-S. Tsao, C.-Y., Chang, C.-C., and Lin, C.-G., Analytic Approximation Formulae for Sabanis, S., Stochastic Volatility and the Pricing Forward-Starting Asian Op- Mean Reverting Process, 33 tions, 487 Sarwar, G., The Interrelation of Price Turac, M., see Gay, G.D. Volatility and Trading Volume of Currency Options, 681 Veld-Merkoulova, Y.V., and De Roon, Sasseville, C., see Duan, J.-C. F.A., Hedging Long-Term Commodity Shao, R., and Roe, B., The Design and Risk, 109 Pricing of Fixed- and Moving-Window Contracts: An Application of Asian- Wang, C., The Behavior and Performance Basket Option Pricing Methods to the of Major Types of Futures Traders, | Hog-Finishing Sector, 1047 Wang, C.-W., see Liao, S.-L. Shawky, H.A., Marathe, A., and Barrett, Wang, M.-C., and Liao, S.-L., Pricing C.L., A First Look at the Empirical Re- Models of Equity Swaps, 751 lation Between Spot and Futures Elec- Wang, Y., see Lien, D. tricity Prices in the United States, 931 Webb, R.1L., Transitory Real-Time Prop- Shen, J., see Harris, R.D.F. erty Rights and Exchange Intellectual Simonato, J.-G., see Duan, J.-C. Property, 891 Smith, T., see Bollen, N.P.B. Webb, R.1., Editor's Note, 1123 Stanhouse, B.E., see Linn, $.C.. Wein, I.L., see Dutt, H.R. Stivers, C., see Mayhew, S. Whaley, R.E., see Bollen, N.P.B. Su, Tie, A Note on the Derivation of Black-Scholes Hedge Rations, 1119 Yang, L., see Lien, D. Sun, P., and Sutcliffe, C., Scheduled An- Yu, M.-T., see Chou, P.-H. nouncements and Volatility Patterns: Yung, H.H.M., and Zhang, H., An The Effects of Monetary Policy Com- Empirical Investigation of the GARCH mittee Announcements on LIBOR and Option Pricing Model: Hedging Per- Short Sterling Futures and Options, 773 formance, 1191 Sutcliffe, C., see Sun, P. Yung, H.H.M., see Chow, Y.-F. Tai, C.-S., Looking for Contagion in Zhang, H., see Chow, Y.-F. Currency Futures Markets, 957 , see Yung, H.H.M. lerry, E., see Lim, K.-G. Zhang, J.E., Pricing Continuously Sam- Theobald, M., see Poomimars, P. pled Asian Options with Perturbation 16, T.-D., see Chiarella, C. Method, 535 lompkins, R.G., Options on Bond Fu- tures: Isolating the Risk Premium, 169