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This paper tested the conditional mean spillover effects between trading volume and price changes in international currency futures markets. We use 8 kinds of currency futures markets such as Japanese yen, British pound, Australian and Canadian dollar as the advanced market and Korean Won/Dollar, Brazilian Real, Russian rubul and South African's land futures as the emerging markets. The sample period is covered from May 19, 2006 to March 15, 2009. For this purpose we employed dynamic time series model such as Nelson (1991)'s Exponential GARCH (1, 1)-M. The major empirical results are as follows; First, according to the empirical results of 4 advanced currency futures markets, we find that the open interests have a strong impact on the price changes at a statistically significant level. In case of the British pound and Canadian dollar futures, the price changes also have influence on the open interests. Second, according to the empirical results of 4 emerging currency futures markets, only Russian currency futures' open interest has an impact on the price change but the price changes of the remain 3 countries have an impact on open interests respectively at a significant level. Third, we also find that there is a asymmetric volatility spillover effects between open interests and price changes in all the advanced and emerging currency futures markets. Fourth, according to Granger causality test the influence of Japanese yen, Australian and Canadian dollar and Brazilian Real futures on the other currency futures markets are dominant. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

This paper investigated the price discovery and asymmetric volatility spillover effects between single stock futures and spot markets. For this purpose we employ 4 largest Korean financial holding companies's daily data covering the period from May 7, 2008 to the end of December, 2010. We introduce the Nelson (1991)'s Exponential GARCH models and the major empirical results are as follows; First, according to Johansen co-integration test, there is a long run relationship between the level variables of 4 financial holding companies' futures and cash markets. Second, based on Granger causality test, 3 financial holding companies's futures contracts among 4 have an impact on the spot returns at a significant level. Third, financial holding companies' futures and spot markets are influenced at 10% to 27% by previous price changes of each market. Fourth, there is a asymmetric volatility spillover effects in 4 financial holding companies futures markets. From this result we infer that individual futures and spot markets in banking area are more sensitive to bad news than good news. These empirical results are consistent with the those of Sakthivel and Kamaiah (2010), Chan et al.(1991), Lien and Tse (2000), Yang et al.(2001) and from these results we infer that 4 single stock futures market are more efficient than those of there spot markets.

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.