Journal of Futures Markets: Volume 40, Number 3, March 2020

• Published date: 01 March 2020
• Date: 01 March 2020
• DOI: http://doi.org/10.1002/fut.22025

Volume 40 Number 3 March 2020

FUTURES MARKETS

CONTENTSCONTENTS

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

Arbitrage opportunities, liquidity provision, and trader types in an index Arbitrage opportunities, liquidity provision, and trader types in an index

option market option market 279279

CHIN‐HO CHEN , JUNMAO CHIU CHIN‐HO CHEN , JUNMAO CHIU and and HUIMIN CHUNG HUIMIN CHUNG

A rare move: The effects of switching from a closing call auction to a A rare move: The effects of switching from a closing call auction to a

continuous trading continuous trading 308308

YA‐KAI CHANG , ROBIN K. CHOU YA‐KAI CHANG , ROBIN K. CHOU and and J. JIMMY YANG J. JIMMY YANG

Pricing VIX derivatives with infinite‐activity jumps Pricing VIX derivatives with infinite‐activity jumps 329329

JILING CAO , XINFENG RUAN , SHU SU , WENJUN ZHANG JILING CAO , XINFENG RUAN , SHU SU , WENJUN ZHANG

Does trade size restriction affect trading behavior? Evidence from Indian Does trade size restriction affect trading behavior? Evidence from Indian

single stock futures market single stock futures market 355355

ANIRBAN BANERJEE ANIRBAN BANERJEE and and ASHOK BANERJEE ASHOK BANERJEE

The impact of soft intervention on the Chinese financial futures market The impact of soft intervention on the Chinese financial futures market 374374

JIMMY E. HILLIARD JIMMY E. HILLIARD and and HAORAN ZHANG HAORAN ZHANG

Systemic risk in global volatility spillover networks: Evidence from Systemic risk in global volatility spillover networks: Evidence from

option‐implied volatility indices option‐implied volatility indices 392392

ZIHUI YANG , YINGGANG ZHOU ZIHUI YANG , YINGGANG ZHOU and and XIN CHENG XIN CHENG

Analytical valuation of Asian options with counterparty risk under Analytical valuation of Asian options with counterparty risk under

stochastic volatility models stochastic volatility models 410410

XINGCHUN WANG XINGCHUN WANG

A novel risk management framework for natural gas markets A novel risk management framework for natural gas markets 430430

PANOS K. POULIASIS , ILIAS D. VISVIKIS , NIKOS C. PAPAPOSTOLOU PANOS K. POULIASIS , ILIAS D. VISVIKIS , NIKOS C. PAPAPOSTOLOU

and and ALEXANDER A. KRYUKOV ALEXANDER A. KRYUKOV

Incorporating time‐varying jump intensities in the mean‐variance Incorporating time‐varying jump intensities in the mean‐variance

portfolio decisions portfolio decisions 460460

CHUNYANG ZHOU , CHONGFENG WU CHUNYANG ZHOU , CHONGFENG WU and and WEIDONG XU WEIDONG XU

Risky short positions and investor sentiment: Evidence from the weekend Risky short positions and investor sentiment: Evidence from the weekend

effect in futures markets effect in futures markets 479479

VIJAY SINGAL VIJAY SINGAL and and JITENDRA TAYAL JITENDRA TAYAL

Volume 40 , Number 3 was mailed the week of 10 February, 2020

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