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Futures market efficiency: Evidence from cointegration tests

✍ Scribed by Abdur R. Chowdhury

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 934 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110506

No coin nor oath required. For personal study only.

✦ Synopsis

The author would like to thank the Editor of The Journal of Futures Markets and two anonymous referees for numerous suggestions on a previous draft of this paper. All remaining errors, however, are the author's responsibility. Financial assistance, provided through a Summer Grant from the Miles Fund, is gratefully acknowledged.

'Hakkio and Rush (1989) employ a similar test of market efficiency in the foreign exchange market.

'See Ma and Hein (1990) for more details on this issue.

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