his study investigates empirically the efficiency of the currency futures T options market, Synchronous transactions data are used to test six arbitrage pricing conditions applicable to American futures options. Results support market efficiency for the period studied; few violations of these condit
Examining the validity of a test of futures market efficiency: A comment
โ Scribed by Chung-Hua Shen; Lee-Rong Wang
- Publisher
- John Wiley and Sons
- Year
- 1990
- Tongue
- English
- Weight
- 124 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Many researchers have found that spot and futures prices are not cointegrated in some commodity markets, or they are cointegrated but not with a cointegrating vector (1, โซ.)1ืโฌ One interpretation is that disturbances to excess returns have a unit root persistence, which implies that spot and futures
This article provides a comprehensive examination of the existence, or the lack thereof, of the compass rose pattern in futures markets. The results from 118 futures contracts traded on 31 futures exchanges in 15 countries show that the compass rose pattern exists only in some futures contracts, in
## Abstract This study examines the crossโmarket efficiency of the Indian options and futures market using modelโfree tests. The putโcallโfutures and putโcallโindex parity conditions are tested for European style Nifty Index options. Thirtyโfiveโmonth timeโstamped transactions data are used to iden