Journal of Futures Markets: Volume 40, Number 6, June 2020

• Published date: 01 June 2020
• Date: 01 June 2020
• DOI: http://doi.org/10.1002/fut.22028

Volume 40 Number 6 June 2020

FUTURES MARKETS

CONTENTSCONTENTS

T H E J O U R N A L O F

Volatility as an asset class: Holding VIX in a portfolio Volatility as an asset class: Holding VIX in a portfolio 841841

JAMES S. DORAN JAMES S. DORAN

Return and volatility transmission between China’s and international crude oil Return and volatility transmission between China’s and international crude oil

futures markets: A first look futures markets: A first look 860860

JIAN YANG JIAN YANG and and YINGGANG ZHOU YINGGANG ZHOU

Bank risk‐taking and market discipline: Evidence from CoCo bonds Bank risk‐taking and market discipline: Evidence from CoCo bonds

in Korea in Korea 885885

YOUNGHWAN LEE YOUNGHWAN LEE and and HAERANG PARK HAERANG PARK

Does corporate hedging affect firm valuation? Evidence from the Does corporate hedging affect firm valuation? Evidence from the

IPO market IPO market 895895

ZHENG QIAO , CHONGWU XIA ZHENG QIAO , CHONGWU XIA and and LEI ZHANG LEI ZHANG

Pricing VIX options with volatility clustering Pricing VIX options with volatility clustering 928928

BO JING , SHENGHONG LI BO JING , SHENGHONG LI and and YONG MA YONG MA

Inferring information from the S & P 500, CBOE VIX, Inferring information from the S & P 500, CBOE VIX,

and CBOE SKEW indices and CBOE SKEW indices 945945

JILING CAO , XINFENG RUAN JILING CAO , XINFENG RUAN and and WENJUN ZHANG WENJUN ZHANG

Repeated Richardson extrapolation and static hedging of barrier options under Repeated Richardson extrapolation and static hedging of barrier options under

the CEV model the CEV model 974974

JIA‐HAU GUO JIA‐HAU GUO and and LUNG‐FU CHANG LUNG‐FU CHANG

Index options open interest and stock market returns Index options open interest and stock market returns 989989

SUNG WON SEO , SUK JOON BYUN SUNG WON SEO , SUK JOON BYUN and and JUN SIK KIM JUN SIK KIM

When is informed trading more prevalent?—An examination of options When is informed trading more prevalent?—An examination of options

trading around Indian M & A announcements trading around Indian M & A announcements 10111011

SONIYA MOHIL , REENA NAYYAR SONIYA MOHIL , REENA NAYYAR and and ARCHANA PATRO ARCHANA PATRO

Volume 40 , Number 6 was mailed the week of 13 May, 2020

wileyonlinelibrary.com