Trading Frictions and Futures Price Movements

David H. Goldenberg

Journal of Financial and Quantitative Analysis, 1988, vol. 23, issue 4, 465-481

Abstract: In a perfectly efficient market, after adjusting for drift, futures prices would follow a martingale model. The martingale property implies that the changes in futures prices should be serially uncorrelated. This study finds that the price changes of the S&P 500 futures contracts during 1983 and 1984 have negative serial correlation and are better described by a random walk model with reflecting barriers or by a random walk model with reflecting barriers and mean reversion.

Date: 1988
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