Market efficiency among futures with different maturities: Evidence from the crude oil futures market

Kaoru Kawamoto and Shigeyuki Hamori

Journal of Futures Markets, 2011, vol. 31, issue 5, 487-501

Abstract: Although many studies have investigated market efficiency of spot and futures prices, that among futures with different maturities has not been studied extensively. In this study, market efficiency and unbiasedness among such futures are defined and the concept of “consistently efficient (or consistently efficient and unbiased) market within n‐month maturity” is introduced. According to this definition, market efficiency and unbiasedness among WTI futures with different maturities are tested using cointegration analysis, and short‐term market efficiency, using an error correction model and GARCH‐M‐ECM. The results show that WTI futures are consistently efficient within 8‐month maturity and consistently efficient and unbiased within 2‐month maturity. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:487–501, 2011

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:31:y:2011:i:5:p:487-501

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().