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Examining the validity of a test of futures market efficiency

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  • Emmett Elam
  • Bruce L. Dixon

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  • Emmett Elam & Bruce L. Dixon, 1988. "Examining the validity of a test of futures market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(3), pages 365-372, June.
    • Handle: RePEc:wly:jfutmk:v:8:y:1988:i:3:p:365-372
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    Cited by:

    1. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
    2. Kapil Gupta & Balwinder Singh, 2009. "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 191-250, May.
    3. Wiseman, J.A. & Darroch, M.A.G. & Ortmann, G.F., 1999. "Testing The Efficiency Of The South African Futures Market For White Maize," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 38(3).
    4. H. Holly Wang & Bingfan Ke, 2005. "Efficiency tests of agricultural commodity futures markets in China," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(2), pages 125-141, June.
    5. He, Dequan & Holt, Matthew T., 2004. "Efficiency Of Forest Commodity Futures Markets," 2004 Annual meeting, August 1-4, Denver, CO 20344, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
    7. Nan, Zheng & Kaizoji, Taisei, 2019. "Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 273-281.
    8. Tomek, William G., 1996. "Commodity Futures Prices As Forecasts," Working Papers 127901, Cornell University, Department of Applied Economics and Management.
    9. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
    10. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    11. Thomas C. Chiang & Douglas R. Kahl, 1991. "Forecasting The Treasury Bill Rate: A Time-Varying Coefficient Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 327-336, December.
    12. Hoffman, Linwood A., 1990. "How Efficient Is The Rough Rice Futures Market?," 1990 Annual meeting, August 5-8, Vancouver, Canada 270860, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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