✍ Scribed by John McEwan
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have
Using daily settlement prices for a range of real and ®nancial futures over the period 6 April 1981±31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the ef®ciency of the markets within which the prices of the assets are de
This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market, and thus offers a unique insight to tick size reduction and decimalization in a derivatives market setting. The reduced tick size leads to an increase in price clustering. The bid-ask spre