ersistent discrepancies between implied forward rates on the yield curve P and corresponding futures rates have been widely observed. For instance, in one of our samples, eight week-ahead forward-future spreads averaged nearly 70 discount basis points before 1982 and have since averaged about 30 bas
The Arc Sine Law and the Treasury Bill Futures Market
โ Scribed by Charles Dale and Rosemarie Workman
- Book ID
- 124933606
- Publisher
- CFA Institute
- Year
- 1980
- Tongue
- English
- Weight
- 695 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0015-198X
- DOI
- 10.2307/4478403
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
F evaluate the economic benefits of futures markets is to examine their effects on the intertemporal allocation of resources. This issue was studied by DeCanio (1980) and Stein (1981Stein ( , 1986) ) who showed that the economic benefits of futures trading can be measured by the ex-post welfare loss
his article examines the pricing efficiency of the gold futures market relative T to the Treasury bill futures market. Futures contracts for gold, a relative newcomer, have only been traded since 1975. T-bill futures contracts, also a relative newcomer, have been traded on organized exchanges since
Shantaram P. Hegde Ben Branch imultaneous spot and futures trading in T-bills permits investors to construct S a combination of spot and futures positions that is a close substitute for a corresponding pure spot bill position. If the net returns on the spot-futures combination exceed the comparable
## Futures Market Destabilize the Treasury Bond Cash Market? Gary A. Bortz I. INTRODUCTION everal market professionals and economists have suggested that financial fu-S tures markets may be contributing to the volatility of interest rates. The most prevalent argument is that futures markets are i