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Linear dependence, nonlinear dependence and petroleum futures market efficiency

Linear dependence, nonlinear dependence and petroleum futures market efficiency where ST is the spot price at time T, Ft,T is the futures price at time t with a contract maturity at T, and Et(•) represents expectations formed at time t using all available information. Previous tests of (1) have been based on estimates of (2): ln ST lnFt,T vT (2) where vT is the news component which is orthogonal to the information incorporated in the futures price at time t. Assuming that market particSend all correspondence to: Mbodja Mougoue Department of Finance and Business Economics, ´, School of Business Administration, Wayne State University, 5201 Cass Avenue, Detroit, Michigan 48202 USA. Tel: 1-313-577-4538; Fax: 1-313-577-0058; Internet: MMOUGOU@CMS.CC. WAYNE.EDU. We acknowledge James L. Hamilton for helpful comments and Andrew C. Szakmary for supplying the data used in this study. We also thank Shan Ming for able research assistance. The usual disclaimer applies. s s Roger A. Fujihara is an Account Manager with the Acacia Group in Fairfax, Virginia. Mbodja Mougoue is an Assistant Professor of Finance at Wayne State University. ´ The Journal of Futures Markets, Vol. 17, No. 1, 75–99 (1997) 1997 by John Wiley & Sons, Inc. CCC 0270-7314/97/010075-25 Fujihara and Mougoue ´ ipants are risk-neutral and http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

Linear dependence, nonlinear dependence and petroleum futures market efficiency

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Publisher
Wiley
Copyright
Copyright © 1997 John Wiley & Sons, Inc.
ISSN
0270-7314
eISSN
1096-9934
DOI
10.1002/(SICI)1096-9934(199702)17:1<75::AID-FUT4>3.0.CO;2-D
Publisher site
See Article on Publisher Site

Abstract

where ST is the spot price at time T, Ft,T is the futures price at time t with a contract maturity at T, and Et(•) represents expectations formed at time t using all available information. Previous tests of (1) have been based on estimates of (2): ln ST lnFt,T vT (2) where vT is the news component which is orthogonal to the information incorporated in the futures price at time t. Assuming that market particSend all correspondence to: Mbodja Mougoue Department of Finance and Business Economics, ´, School of Business Administration, Wayne State University, 5201 Cass Avenue, Detroit, Michigan 48202 USA. Tel: 1-313-577-4538; Fax: 1-313-577-0058; Internet: MMOUGOU@CMS.CC. WAYNE.EDU. We acknowledge James L. Hamilton for helpful comments and Andrew C. Szakmary for supplying the data used in this study. We also thank Shan Ming for able research assistance. The usual disclaimer applies. s s Roger A. Fujihara is an Account Manager with the Acacia Group in Fairfax, Virginia. Mbodja Mougoue is an Assistant Professor of Finance at Wayne State University. ´ The Journal of Futures Markets, Vol. 17, No. 1, 75–99 (1997) 1997 by John Wiley & Sons, Inc. CCC 0270-7314/97/010075-25 Fujihara and Mougoue ´ ipants are risk-neutral and

Journal

The Journal of Futures Markets – Wiley

Published: Feb 1, 1997

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