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Testing futures market efficiency—A restatement

✍ Scribed by Edwin D. Maberly

Publisher
John Wiley and Sons
Year
1985
Tongue
English
Weight
413 KB
Volume
5
Category
Article
ISSN
0270-7314

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✦ Synopsis

An anonymous referee made the comment that if f3 < 1, then the variance in the futures price is much greater than the variance in the spot price. OLS was applied to Eq.(l) utilizing all 29 futures contracts for wheat, corn, and soybeans expiring between January 1975 and September 1980 with respect to the paired observations 24 weeks prior to delivery. The evidence is presented in Table 111 and refutes the above statement for wheat, corn. and soybeam futures. The same results are also true for the simulated data.

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