The Journal of Futures Markets January-December 2004: Vol 24 Index

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THE
Journal
OF
Futures
Markets
VOLUME 24
ISSUES 1-12
January 2004—December 2004
Publishers Since 1807
THE JOURNA nis
Il
EDITOR Philip Garcia Jayaram Muthuswamy
Robert I. Webb University of Illinois University of Sydney
University of Virginia at Urbana Champaign Sydney, Australia
Charlottesville, Virginia Urbana, Illinois Mare Reingunum
Gerald D. Gay Southern Methodist University
EDITORIAL BOARD Georgia State University Dallas, Texas
John Angus Atlanta, Georgia Charles Sutcliffe
Claremont Graduate University Ira G. Kawaller University of Southampton
Claremont, California Kawaller & Co. Southampton, England
Jean-Paul Chavas New York, New York George Wang
University of Wisconsin—Madison Sergio Lence Commodity Futures Trading
Madison, Wisconsin lowa State University Commission
Ames, lowa Washington, D.C.
Robert T. Daigler
Florida International University Peter Locke Robert Whaley
Miami, Florida George Washington University Duke University
Washington, D.C. Durham, North Carolina
Franklin Edwards
Columbia Business School Aaron Low Jeffrey Williams
New York, New York PIMCO University of California
Singapore Davis, California
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THE JOURNA
TUR ARKET
Author Index to Volume 24
Aitken, M. J., Frino, A., Hill, A. M., and Chng, M. T., A Model of Price Discovery
Jarnecic, E., The Impact of Electronic and Market Design: Theory and
Trading on Bid-Ask Spreads: Evidence Empirical Evidence, 1107
From Futures Markets in Hong Kong, Christiansen, C., Regime Switching in
London, and Sydney, 675 the Yield Curve, 315
Alizadeh, A., and Nomikos, N., A Markov Cincibuch, M., Distributions Implied by
Regime Switching Approach for American Currency Futures Options: A
Hedging Stock Indices, 649 Ghost’s Smile?, 147
Copeland, L., Lam, K., and Jones, S.-A.,
Bae, S. C., Kwon, T. H., and Park, The Index Futures Markets: Is Screen
J. W., Futures Trading, Spot Market Trading More Efficient?, 337
Volatility, and Market Efficiency: The Cotter, J., Minimum Capital Requirement
Case of the Korean Index Futures Calculations for U.K. Futures, 193
Markets, 1195 Covrig, V., Ding, D. K., and Low, B. S..,
Benkert, C., Explaining Credit Default The Contribution of a Satellite Market
Swap Premia, 71 to Price Discovery: Evidence From the
Boyd, M. E., see Newsome, J. E. Singapore Exchange, 98 |
Cao, M., and Wei, J., Weather Derivatives Dai, M., and Kwok, Y. K., Knock-in
Valuation and Market Price of Weather American Options, 179
Risk, 1065 Daouk, H., and Guo, J. Q., Switching
Chan, K. C., Cheng, L. T. W., and Lung, Asymmetric GARCH and Options on a
P. P., Net Buying Pressure, Volatility Volatility Index, 251
Smile, and Abnormal Profit of Hang De Roon, F. A., and Veld-Merkoulova, Y. V.,
Seng Index Options, 1165 Comparing Alternative Assumptions on
Chen, J., and Locke, P. R., Splitting the the Term Structure of Futures Prices:
S&P 500 Futures, 1147 Reply, 1101
Chen, S.-S., Lee, C.-F., and Shrestha, Ding, D. K., see Covrig, V.
K., An Empirical Analysis of the Dixon, B. L., see Mckenzie, A. M.
Relationship Between the Hedge Ratio Do, B. H., and Faff, R. W., Do Futures-
and Hedging Horizon: A Simultaneous Based Strategies Enhance Dynamic
Estimation of the Short- and Long-Run Portfolio Insurance?, 591
Hedge Ratios, 359
Cheng, L. T. W., Jiang, L., and Ng, R. W.Y., Easton, S., Gerlach, R., Graham, M., and
Information Content of Extended Tuyl, F., An Empirical Examination of
Trading for Index Futures, 861. Also for the Pricing of Exchange-Traded Barrier
Cheng, L. T. W., see Chan, K. C. Options, 1049
Faff, R. W., see Do, B. H. Lam, K., Sin, C.-Y., and Leung, R.,
Frino, A., Harris, F. H. deB., Mcinish, A Theoretical Framework to Evaluate
T. H., and Tomas III, M. J., Price Different Margin-Setting Methodo-
Discovery in the Pits: The Role of logies, 117. Also for Lam, K., see
Market Makers on the CBOT and the Copeland, L.
Sydney Futures Exchange, 785. Also Lau, K. W., and Kwok, Y. K., Anatomy
for Frino, A., see Aitken, M. J. of Option Features in Convertible
Fuller, M. J., see Newsome, J. E. Bonds, 513
Lee, C.-F., see Chen, S.-S.
Gerlach, R., see Easton, S. Lekkos, I., and Milas, C., Common Risk
Graham, M.., see Easton, S. Factors in the U.S. and U.K. Interest
Guo, J. Q., see Daouk, H. Rate Swap Markets: Evidence From a
Nonlinear Vector Autoregression
Harris, F. H. deB., see Frino, A. Approach, 221
Hennessy, D. A., see Lien, D. Leung, R., see Lam, K.
Hess, D., Determinants of the Relative Lien, D., and Hennessy, D. A., A Note on
Price Impact of Unanticipated Price Futures Versus Revenue Futures
Information in U.S. Macroeconomic Contracts, 503
Releases, 609 Lien, D., and Wang, Y., Hedging Long-
Hill, A. M., see Aitken, M. J. Term Commodity Risk: A Comment,
Holder, M. E., Qi, M., and Sinha, A. K., 1093
The Impact of Time Duration Between Linn, S. C., and Zhu, Z., Natural Gas
Trades on the Price of Treasury Note Prices and the Gas Storage Report:
Futures Contracts, 965 Public News and Volatility in Energy
Holmes, P., and Tomsett, M., Information Futures Markets, 283
and Noise in U.K. Futures Markets, 711 Locke, P. R., and Sarajoti, P., Interdealer
Hsieh, W.-L. G., Regulatory Changes and Trading in Futures Markets, 923. Also
Information Competition: The Case of for Locke, P. R., see Chen, J.
Taiwan Index Futures, 399 Low, B. S., see Covrig, V.
Huang, Y. C., The Components of Bid- Lung, P. P., see Chan, K. C.
Ask Spread and Their Determinants:
TAIFEX Versus SGX-DT, 835 Martens, M., and Zein, J., Predicting
Hiibner, G., The Credit Risk Components Financial Volatility: High-Frequency
of a Swap Portfolio, 93 Time-Series Forecasts Vis-a-Vis Implied
Volatility, 1005
Jarnecic, E., see Aitken, M. J. Mcinish, T. H., see Frino, A.
Jiang, L., see Cheng, L. T. W. Mckenzie, A. M., Thomsen, M. R., and
Jones, S.-A., see Copeland, L. Dixon, B. L., The Performance of
Event Study Approaches Using Daily
Kang, J., and Kim, H.-S., Pricing Credit Commodity Futures Returns, 533
Spread Options Under a Markov Meneguzzo, D., and Vecchiato, W.,
Chain Model With Stochastic Default Copula Sensitivity in Collateralized
Rate, 631 Debt Obligations and Basket Default
Kiefer, D. B., see Szakmary, A. C. Swaps, 37
Kim, H.-S., see Kang, J. Miffre, J., Conditional OLS Minimum
Koontz, S. R., see Schaefer, M. P. Variance Hedge Ratios, 945
Kwok, Y. K., see Dai, M.; see Lau, K. Milas, C., see Lekkos, I.
Kwon, T. H., see Bae, S. C. Myers, R. J., see Schaefer, M. P.
Author Index
Newsome, J. E., Wang, G. H. K., Boyd, Tahani, N., Valuing Credit Derivatives
M. E., and Fuller, M. J., Contract Using Gaussian Quadrature: A
Modifications and the Basis Behavior Stochastic Volatility Framework, 3
of Live Cattle Futures, 557 Taylor, N., Modeling Discontinuous
Ng, R. W. Y., see Cheng, L. T. W. Periodic Conditional Volatility: Evidence
Nomikos, N., see Alizadeh, A. From the Commodity Futures Market,
805
Park, J. W., see Bae, S. C.
Thomsen, M. R., see Mckenzie, A. M.
Pindyck, R. S., Volatility and Commodity
Tomas III, M. J., see Frino, A.
Price Dynamics, 1029
Tomsett, M., see Holmes, P.
Tse, Y., and Zabotina, T., Do Designated
Qi, M., see Holder, M. E.
Market Makers Improve Liquidity in
Ramchander, S., see Simpson, M. W. Open-Outcry Futures Markets?, 479.
Also for Tse, Y., see So, R. W.
Sack, B., Extracting the Expected Path of Tuyl, F., see Easton, S.
Monetary Policy From Futures Rates, 733
Sarajoti, P., see Locke, P. R. Upper, C., see Werner, T.
Schaefer, M. P., Myers, R. J., and Koontz,
S. R., Rational Expectations and Van Ness, B. F., see Schwartz, A. L.
Market Efficiency in the U.S. Live Van Ness, R. A., see Schwartz, A. L.
Cattle Futures Market: The Role of Vecchiato, W., see Meneguzzo, D.
Proprietary Information, 429 Veld-Merkoulova, Y. V., see De Roon, F. A.
Schwartz, A. L., Van Ness, B. F., and Van
Ness, R. A., Clustering in the Futures Wang, G. H. K., see Newsome, J. E.
Market: Evidence From S&P 500 Wang, Y., see Lien, D.
Futures Contracts, 413 Webb, R. I., Editor’s Note, 1, 707, 1091,
Shrestha, K., see Chen, S.-S. 1105
Simpson, M. W., and Ramchander, S., Wei, J., see Cao, M.
An Examination of the Impact of Werner, T., and Upper, C., Time Variation
Macroeconomic News on the Spot and in the Tail Behavior of Bund Future
Futures Treasuries Markets, 453 Returns, 387
Sin, C.-Y., see Lam, K. Wong, K. P., Hedging, Liquidity, and the
Sinha, A. K., see Holder, M. E. Competitive Firm Under Price
SSoo, , R. R. W W., and 1'TTs e, x,Y ., P Price D Discovery \ in Uncertainty, 697
the Hang Seng Index Markets: Index, Wong, K. P., Liquidity Constraints and the
Futures, and the Tracker Fund, 887 Hedging Role of Futures Spreads, 909
Szakmary, A. C., and Kiefer, D. B., The
Disappearing January/Turn of the Year Zabotina, T., see Tse, Y.
Effect: Evidence From Stock Index Zein, J., see Martens, M.
Futures and Cash Markets, 755 Zhu, Z., see Linn, S. C.