Rational Expectations and Efficiency in Futures Markets

Rational Expectations and Efficiency in Futures Markets
Author: Barry Goss
Publisher: Routledge
Total Pages: 252
Release: 2005-10-09
Genre: Business & Economics
ISBN: 113497521X

Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.

Efficiency in Commodity Futures Markets

Efficiency in Commodity Futures Markets
Author: Graciela Kaminsky
Publisher:
Total Pages: 37
Release: 2006
Genre:
ISBN:

This paper undertakes an econometric investigation into the efficiency of commodity futures markets. Despite a considerable amount of empirical literature, there is no general consensus on whether or not the markets are efficient. The results of this study suggest that for certain commodities expected excess returns to futures speculation are non-zero, however, it is argued that these results do not necessarily imply that markets are inefficient, or that agents do not act rationally. The implications of the study for the cost of using the futures markets for hedging, and for the power of futures prices to forecast future spot prices, are also noted.

Futures Markets (Routledge Revivals)

Futures Markets (Routledge Revivals)
Author: Barry Goss
Publisher: Routledge
Total Pages: 227
Release: 2013-05-02
Genre: Business & Economics
ISBN: 1135047502

First published in 1986, this book discusses many important aspects of the theory and practice of Futures Markets. It describes how they, at the time, grew to be an increasingly important feature of the world's major financial centres. Indeed, they adopted the role of being efficient forward pricing mechanisms and this was reflected by the interest of economists in the study of risk, uncertainty and information. Here, the contributors focus on areas that were of concern in the late 1980s such as feasibility, forward pricing and returns, and the modelling of price determination in Futures Markets. Evidence is drawn from twenty-five different commodities representing all the major commodity groups; and from all the world's major centres of Futures Trading.

Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Author: Robert J. Hodrick
Publisher: CRC Press
Total Pages: 190
Release: 2023-08-18
Genre: Mathematics
ISBN: 1000943380

This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Author: Robert J. Hodrick
Publisher:
Total Pages: 0
Release: 2018
Genre: MATHEMATICS
ISBN: 9781003420385

This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.