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Linear dependence, nonlinear dependence and petroleum futures market efficiency

✍ Scribed by Fujihara, Roger A.; Mougou�, Mbodja

Book ID
101222524
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
276 KB
Volume
17
Category
Article
ISSN
0270-7314

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✦ Synopsis

The simple market efficiency hypothesis states that the futures price is an unbiased estimator of the future spot price as in ( 1):

where S T is the spot price at time T, F t,T is the futures price at time t with a contract maturity at T, and E t (•) represents expectations formed at time t using all available information. Previous tests of (1) have been based on estimates of (2):

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