IDEAS home Printed from https://ideas.repec.org/r/wly/jfutmk/v11y1991i5p577-589.html
   My bibliography  Save this item

Futures market efficiency: Evidence from cointegration tests

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke, 2016. "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 623-639.
  2. Michaël Dewally & Luke Marriott, 2008. "Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon," JRFM, MDPI, vol. 1(1), pages 1-36, December.
  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. Richard Heaney, 1998. "A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(2), pages 177-200, April.
  5. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
  6. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  7. Riza Emekter & Benjamas Jirasakuldech & Peter Went, 2012. "Rational speculative bubbles and commodities markets: application of duration dependence test," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 581-596, April.
  8. Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.
  9. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
  10. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
  11. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
  12. 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.
  13. Daskalaki, Charoula & Skiadopoulos, George, 2016. "The effects of margin changes on commodity futures markets," Journal of Financial Stability, Elsevier, vol. 22(C), pages 129-152.
  14. Stuart Snaith & Neil M. Kellard & Norzalina Ahmad, 2018. "Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 673-695, June.
  15. Aruga, Kentaka & Managi, Shunsuke, 2011. "Price linkages in the copper futures, primary, and scrap markets," Resources, Conservation & Recycling, Elsevier, vol. 56(1), pages 43-47.
  16. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
  17. Mohamed El Hedi Arouri & Fredj Jawadi & Prosper Mouak, 2013. "Testing the efficiency of the aluminium market: evidence from London metal exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 23(6), pages 483-493, March.
  18. Zesheng Sun & Bianxia Sun, 2017. "Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement-super-," Asian Economic Journal, East Asian Economic Association, vol. 31(1), pages 17-37, March.
  19. Emmanuel Hache & Anthony Paris, 2018. "Market Efficiency and Optimal Hedging Strategy for the US Ethanol Market," Working Papers hal-04141799, HAL.
  20. Ladley, Daniel & Liu, Guanqing & Rockey, James, 2020. "Losing money on the margin," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 107-136.
  21. Xuedong Wu & Jeffrey H. Dorfman & Berna Karali, 2018. "The impact of data frequency on market efficiency tests of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 696-714, June.
  22. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  23. Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 339-356, April.
  24. Pradita Nareswari & Sigit S. Wibowo, 2020. "Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities," Capital Markets Review, Malaysian Finance Association, vol. 28(1), pages 65-76.
  25. W. David Walls & Kelly Busche, 1996. "Betting volume and market efficiency in Hong Kong race track betting," Applied Economics Letters, Taylor & Francis Journals, vol. 3(12), pages 783-787.
  26. Shashi Gupta & Himanshu Choudhary & D. R. Agarwal, 2018. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market," Global Business Review, International Management Institute, vol. 19(3), pages 771-789, June.
  27. A. J. Aulton & C. T. Ennew & A. J. Rayner, 1997. "Efficiency Tests Of Futures Markets For Uk Agricultural Commodities," Journal of Agricultural Economics, Wiley Blackwell, vol. 48(1‐3), pages 408-424, January.
  28. Yu, Hui & Ding, Yinghui & Sun, Qingru & Gao, Xiangyun & Jia, Xiaoliang & Wang, Xinya & Guo, Sui, 2021. "Multi-scale comovement of the dynamic correlations between copper futures and spot prices," Resources Policy, Elsevier, vol. 70(C).
  29. Ying-Foon Chow, 2001. "Arbitrage, Risk Premium, and Cointegration Tests of the Efficiency of Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(5-6), pages 693-713.
  30. Rahul Kumar Singh, 2023. "Efficiency of Wheat Futures across APMC Mandis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 681-701, September.
  31. Xiaojie Xu, 2018. "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, vol. 54(3), pages 1267-1295, May.
  32. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non‐ferrous metal prices," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 651-701, December.
  33. Alper Kara & Dilem Yildirim & G. Ipek Tunc, 2023. "Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 279-290, June.
  34. Alper Kara & Dilem Yıldırım & Gül İpek Tunç, 2021. "Market Efficiency In Non-Renewable Resource Markets: Evidence From Stationarity Tests With Structural Changes," ERC Working Papers 2103, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
  35. Watkins, Clinton & McAleer, Michael, 2002. "Cointegration analysis of metals futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 207-221.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.