Journal of Futures Markets: Volume 39, Number 10, October 2019

• Published date: 01 October 2019
• DOI: http://doi.org/10.1002/fut.21951
• Date: 01 October 2019

Volume 39 Number 10 October 2019

FUTURES MARKETS

CONTENTSCONTENTS

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

Instantaneous squared VIX and VIX derivatives Instantaneous squared VIX and VIX derivatives

11931193

XINGGUO LUO, JIN E. ZHANGXINGGUO LUO, JIN E. ZHANG and and WENJUN ZHANGWENJUN ZHANG

A dimension‐invariant cascade model for VIX futures A dimension‐invariant cascade model for VIX futures

12141214

ZHIGUANG WANGZHIGUANG WANG and and BRICE DUPOYETBRICE DUPOYET

Illiquidity transmission from spot to futures markets Illiquidity transmission from spot to futures markets

12281228

OLAF KORN, PAOLO KRISCHAKOLAF KORN, PAOLO KRISCHAK and and ERIK THEISSENERIK THEISSEN

Options pricing and short‐selling in the underlying: Options pricing and short‐selling in the underlying:

Evidence from India Evidence from India

12501250

ALOK DIXIT, VIPULALOK DIXIT, VIPUL and and SHIVAM SINGHSHIVAM SINGH

Determinants of Nikkei futures mispricing in international markets: Determinants of Nikkei futures mispricing in international markets:

Dividend clustering, currency risk, and transaction costs Dividend clustering, currency risk, and transaction costs

12691269

JIEYE QIN, CHRISTOPHER J. GREENJIEYE QIN, CHRISTOPHER J. GREEN and and KAVITA SIRICHANDKAVITA SIRICHAND

Does maturity matter? The case of treasury futures volume Does maturity matter? The case of treasury futures volume

13011301

DOINA CHICHERNEA, KERSHEN HUANGDOINA CHICHERNEA, KERSHEN HUANG and and ALEX PETKEVICHALEX PETKEVICH

Information share and its predictability in the Indian stock market Information share and its predictability in the Indian stock market

13221322

MADHUSUDAN KARMAKARMADHUSUDAN KARMAKAR and and SARVESHWAR INANISARVESHWAR INANI

Derivatives pricing when supply and demand matter: Evidence from the

term structure of VIX futures

1035

SCOTT MIXON and ESEN ONUR

Pricing executive stock options with averaging features under the

Heston–Nandi GARCH model

1056

ZHIWEI SU and XINGCHUN WANG

Is options trading informed? Evidence from credit rating

change announcements

1085

JUN ZHANG

Price discovery in commodity derivatives: Speculation or hedging?

1107

MARC J. M. BOHMANN, DAVID MICHAYLUK and VINAY PATEL

The evolution of price discovery in us equity and derivatives markets

11222

DAMIEN WALLACE, PETKO S. KALEV and GUANHUA LIAN

Robust estimation of risk‐neutral moments

1137

MANUEL AMMANN and ALEXANDER FESER

Panel quantile regressions for estimating and predicting the value‐at‐risk

of commodities

1167

FRANTIŠEK ČECH and JOZEF BARUNÍK

Volume 39 , Number 10 was mailed the week of September 09, 2019

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