Download or read book Testing Futures Market Efficiency written by Atcharawan Ngarmyarn and published by . This book was released on 1989 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Efficiency Test in the VIX Futures Market written by Jian Zhang and published by ProQuest. This book was released on 2008 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the daily settlement prices of the VIX futures to test the random walk hypothesis (RWH) and the weak form market efficiency in the VIX futures market. Both the unit root test and the uncorrelated increments test are applied. The unit root test includes the Augmented Dicky-Fuller (ADF) test and the Kwiatkowski, Phillips, Schmidt and Shin (KPSS) test. The uncorrelated increments test includes that the serial correlation coefficient test (Ljung-Box Q test) and the Lo-MacKinlay Variance Ratio (VR) test. The Jarque-Bera test for the normality of residuals is applied for a robustness check. This paper tests the aggregated market price series as well as the price series of each individual futures contract. For the aggregated market price series, the test results suggest that the VIX futures market is efficient because there is a unit root in the aggregated market price series. For the individual VIX futures price series, there are 51 out of 54 futures meet the sufficient condition for an efficient market: the prices are found to follow a random walk either because there is a unit root existing in the price series or because the increments are not correlated.

Download or read book Testing index futures market efficiency using price differences written by Pradeep Kumar Yadav and published by . This book was released on 1991 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Tests of Future Market Efficiency written by Michael Perelman and published by . This book was released on 1987 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficiency of the Treasury Bill Futures Market written by James R. Barth and published by . This book was released on 1984 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations and Efficiency in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2005-10-09 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.

Download or read book Nonparametric Tests of Commodity Futures Market Efficiency written by Andrew M. McKenzie and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.

Download or read book Market Efficiency and Interest Rate Forecasting written by Mark Allan Green and published by . This book was released on 1984 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Test of Market Efficiency written by JinKyoung Kim and published by . This book was released on 1995 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Can Chartists Outperform the Market written by Salih N. Neftci and published by . This book was released on 1983 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability written by Y. Peter Chung and published by . This book was released on 1989 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Re examining the Futures Market Efficiency Using a New Approach in the Presence of a Time Varying Risk Premium written by Duminda Kuruppuarachchi and published by . This book was released on 2014 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.

Download or read book Empirical Test of Market Efficiency in Trading Treasury Bill Futures written by Anna Maria Spilker and published by . This book was released on 1977 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Efficiency and the Unbiasedness Hypothesis of the Emerging Greek Futures Market written by Dimitris Kenourgios and published by . This book was released on 2005 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the FTSE-20 blue chip index futures contract. The FTSE/ATHENS STOCK EXCHANGE (ASE)-20 futures market is the first organized derivatives market established in Greece and its operation rests with the Athens Derivatives Exchange (ADEX) and the Athens Derivatives Exchange Clearing House (ADECH). The growing importance of this new market for both investors and the Greek capital market motivated this empirical examination of its efficiency, even though it is an emerging market with low liquidity, compared to other European developed futures markets, but strong growth rates. The Johansen cointegration procedure used to test the market efficiency shows that the joint hypothesis of market efficiency and unbiasedness in futures prices is rejected, indicating market inefficiency. This finding is consistent to earlier but limited studies in other European emerging futures markets, implying that, despite the significant role of an organized futures/derivatives market for a capital market and an economy more general, further necessary steps have to be taken in order to contribute to its efficiency.

Download or read book Testing for Efficiency in Commodity Futures Markets written by and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Futures Market Efficiency the Unbiasedness Hypothesis and Variance Bounds Tests written by Antonios Antoniou and published by . This book was released on 1995 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Unbiasedness and Market Efficiency Tests of the U S Rice Futures Market written by Andrew M. McKenzie and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines short-run and long-run unbiasedness within the U.S. rice futures market. Standard OLS, cointegration, and error-correction models are used to determine unbiasedness. In addition, the forecasting performance of the rice futures market is analyzed and compared to out-of-sample forecasts derived from an additive ARIMA model and the error-correction model. The results of our unbiasedness tests and the forecasting performance of the rice futures market provide supporting evidence that the U.S. long-grain rough rice futures market is efficient. The results have important price risk management and price discovery implications for Arkansas and U.S. rice industry participants.