Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study

Mikhail Kopytin and Evgeniy Kazantsev

Papers from arXiv.org

Abstract: Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market correlations on the hourly time frame is seen to be significant initially (2009-2011) but gradually goes down, as the erstwhile leader instruments -- crude oil, the USD/RUB exchange rate, and the Russian stock market index -- seem to lose the leader status. An inefficiency index, based on two-point correlations, is proposed and its history is established.

Date: 2013-09
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.3844

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