This study uses bibliometrics to present a retrospective on the Journal of Futures Markets
(JFM) on its 40th anniversary. The Journal's annual number of publications and citations …

If a financial asset is traded in more than one market, common factor models may be used to
measure the contribution of these markets to the price discovery process. We examine the …

The market for US equity indexes presently comprises floor‐traded index futures contracts,
exchange‐traded funds (ETFs), electronically traded, small‐denomination futures contracts …

The circumstances surrounding the outbreak of the COVID-19 pandemic have generated
substantial international political strain as governments attempt to mitigate the widespread …

We analyse minute-level multi-dimensional information flows within and between bitcoin
spot and derivatives. We show that perpetual swaps and futures traded on the unregulated …

Abstract In December 2017, both the Chicago Board Options Exchange and the Chicago
Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent …

We analyze the structural determinants of two widely used measures of price discovery
between multiple markets that trade closely related securities. Using a structural …

A market is typically considered to dominate price discovery if it is the first to reflect new
information about the fundamental value. Our simulations indicate that common price …

VECMs can detect trades that permanently move the markets in cross-listed stocks. We
employ Gonzalo and Granger's (J. Business Econom. Stat. 13 (1995) 1) reduced-rank …

BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for
leverage trading and hedging. Using minute‐by‐minute data, we examine its price discovery …