Journal of Futures Markets: Volume 40, Number 1, January 2020

• Date: 01 January 2020
• DOI: http://doi.org/10.1002/fut.22023
• Published date: 01 January 2020

Volume 40 Number 1 January 2020

FUTURES MARKETS

CONTENTSCONTENTS

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

An analytical perturbative solution to the Merton–Garman model An analytical perturbative solution to the Merton–Garman model

using symmetries using symmetries 3

XAVIER CALMETXAVIER CALMET and and NATHANIEL WIESENDANGER SHAWNATHANIEL WIESENDANGER SHAW

BitMEX bitcoin derivatives: Price discovery, informational efficiency, BitMEX bitcoin derivatives: Price discovery, informational efficiency,

and hedging effectiveness and hedging effectiveness 2323

CAROL ALEXANDER, JAEHYUK CHOI, HEUNGJU PARKCAROL ALEXANDER, JAEHYUK CHOI, HEUNGJU PARK and and SUNGBIN SOHNSUNGBIN SOHN

Programs trades and trade regulation: An evidence of the Korean Programs trades and trade regulation: An evidence of the Korean

securities market securities market 4444

CHEOLJUN EOM, STEVEN J. JORDAN, WOO‐BAIK LEECHEOLJUN EOM, STEVEN J. JORDAN, WOO‐BAIK LEE and and JONG WON PARKJONG WON PARK

What do we know about individual equity options? What do we know about individual equity options? 6767

ALEJANDRO BERNALES, THANOS VEROUSIS, NIKOLAOS VOUKELATOSALEJANDRO BERNALES, THANOS VEROUSIS, NIKOLAOS VOUKELATOS

and and MENGYU ZHANGMENGYU ZHANG

The externalities of credit default swaps on stock return synchronicity The externalities of credit default swaps on stock return synchronicity 9292

RAN ZHAORAN ZHAO and and LU ZHULU ZHU

The time‐to‐maturity pattern of futures price sensitivity to news The time‐to‐maturity pattern of futures price sensitivity to news 126126

HOANG‐LONG PHANHOANG‐LONG PHAN and and RALF ZURBRUEGGRALF ZURBRUEGG

Return dynamics during periods of high speculation in a thinly traded Return dynamics during periods of high speculation in a thinly traded

commodity market commodity market 145145

MARTIN T. BOHLMARTIN T. BOHL and and MARTIN STEFANMARTIN STEFAN

Volume 40 , Number 1 was mailed the week of 9 December, 2019

wileyonlinelibrary.com