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## Introduction any studies of futures market efficiency have used one of two basic methods M to examine market efficiency. The first method, widely used to examine the efficiency of commodity futures, is to regress the actual realized delivery-day spot rate against an earlier observed futures price. If the futures market is allocationally efficient (ignoring transaction costs), futures prices should fully and instantaneously reflect all available relevant public information. Assuming rational expectations, the constant and slope term in the preceding regression should not be different from zero and one, respectively. This test of the efficient market hypothesis has the advantage of being simple and having universal appeal in application to all futures market instruments. However, this method can suffer from serious statistical problems as outlined below. Such problems can render the OLS estimation results meaningless. A second method of testing for futures market efficiency, widely used in examining the efficiency of the Treasury-bill future market, is to compare a futures rate with an arbitrageable alternative rate, such as a forward rate; e.g., Poole (1978), Vignola and Dale (19

Who reads An empirical evaluation of treasury-bill futures market efficiency: Evidence from forecast efficiency tests?

Author

S. Scott MacDonald; Scott E. Hein

Publisher

John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0270-7314)

Published

1993

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)