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The Efficiency of the Treasury Bill Futures Market

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  • Rendleman, Richard J, Jr
  • Carabini, Christopher E

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  • Rendleman, Richard J, Jr & Carabini, Christopher E, 1979. "The Efficiency of the Treasury Bill Futures Market," Journal of Finance, American Finance Association, vol. 34(4), pages 895-914, September.
    • Handle: RePEc:bla:jfinan:v:34:y:1979:i:4:p:895-914
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    Citations

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    Cited by:

    1. Poskitt, Russell, 2008. "Interest rate futures and forwards: Evidence from the sterling futures and FRA markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 399-412, December.
    2. Eric Girard & Trevor Reid, 2010. "Cost Of Carry On Steroids: Application To Oil Futures Pricing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(2), pages 153-163.
    3. Gupta, Anurag & Subrahmanyam, Marti G., 2000. "An empirical examination of the convexity bias in the pricing of interest rate swaps," Journal of Financial Economics, Elsevier, vol. 55(2), pages 239-279, February.
    4. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    5. Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1999. "Phenomenology of the interest rate curve," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 209-232.
    6. Ankita Srivastava, 2017. "A review on pricing of currency futures in Indian foreign exchange market," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 13(2), pages 182-189.
    7. Lin, James Wuh, 1996. "Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 207-222.
    8. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997. "Phenomenology of the interest curve," Finance 9712009, University Library of Munich, Germany.
    9. Jergensen, Dale William, 1982. "An investigation of uses for financial futures in the agricultural equipment industry," ISU General Staff Papers 1982010108000017436, Iowa State University, Department of Economics.
    10. Robert W. Kolb & Gerald D. Gay, 1985. "A Pricing Anomaly In Treasury Bill Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 157-167, June.
    11. Anthony J. Vignola & Charles DaleEconomists, 1980. "The Efficiency Of The Treasury Bill Futures Market: An Analysis Of Alternative Specifications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 169-188, June.
    12. Poskitt, Russell, 2008. "The truth about interest rate futures and forwards: Evidence from high frequency data," Global Finance Journal, Elsevier, vol. 18(3), pages 319-336.
    13. Patricia Knain Little, 1986. "Financial Futures And Immunization," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 1-12, March.
    14. Marina Abdul Razak & Obiyathulla Ismath Bacha, 2009. "Pricing efficiency of the 3-month KLIBOR futures contracts: an empirical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 445-462.
    15. Kang, Jangkoo & Park, Hyoung-Jin, 2006. "Tests of alternate models for the pricing of Korean Treasury bond futures contracts," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 410-425, September.
    16. Tiziana Di Matteo & Tomaso Aste, 2002. "How Does The Eurodollar Interest Rate Behave?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 107-122.
    17. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, University Library of Munich, Germany.

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