Journal of Futures Markets: Volume 37, Number 1, January 2017

• Date: 01 January 2017
• Published date: 01 January 2017
• DOI: http://doi.org/10.1002/fut.21808

Volume 37 Number 1 January 2017

FUTURES MARKETS

CONTENTSCONTENTS

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

Volume 37, Number 1 was mailed the week of December 12, 2016

Does Option-Implied Cross-Sectional Return Dispersion Does Option-Implied Cross-Sectional Return Dispersion

Forecast Realized Cross-Sectional Return Dispersion? Forecast Realized Cross-Sectional Return Dispersion?

Evidence From the G10 Currencies Evidence From the G10 Currencies

3

KLAUS GROBYS KLAUS GROBYS andand JARI-PEKKA HEINONEN JARI-PEKKA HEINONEN

Price Discovery and Foreign Participation in Korea’s Government Price Discovery and Foreign Participation in Korea’s Government

Bond Futures and Cash Markets 2Bond Futures and Cash Markets 2

3

CYN-YOUNG PARK, ROGELIO MERCADO JR., JAEHUN CHOI, CYN-YOUNG PARK, ROGELIO MERCADO JR., JAEHUN CHOI, andand HOSUNG LIM HOSUNG LIM

Price Discovery on the International Soybean Futures Markets: Price Discovery on the International Soybean Futures Markets:

A Threshold Co-Integration Approach 52A Threshold Co-Integration Approach 52

CHAO LI CHAO LI andand DERMOT J. HAYES DERMOT J. HAYES

Do Scheduled Macroeconomic Announcements Do Scheduled Macroeconomic Announcements

Influence Energy Price Jumps? 71Influence Energy Price Jumps? 71

KAM FONG CHAN KAM FONG CHAN andand PHILIP GRAY PHILIP GRAY

The Binomial CEV Model and the Greeks 90The Binomial CEV Model and the Greeks 90

ARICSON CRUZ ARICSON CRUZ andand JOSÉ CARLOS DIAS JOSÉ CARLOS DIAS

wileyonlinelibrary.com

fut_37 (1)_TOC.indd 1fut_37 (1)_TOC.indd 1 25/11/16 9:08 AM25/11/16 9:08 AM