Is the Futures Market for Treasury Bills Efficient?

Anthony Vignola and Charles Dale

MPRA Paper from University Library of Munich, Germany

Abstract: In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury bills, although such opportunities have ebbed as the market continued to mature. This paper shows that the summary statistics reported by Puglisi are misleading and may be misinterpreted, that the Treasury bill futures market may be used to increase returns, and that the spot and futures market must be evaluated for such purposes only on a daily basis.

Keywords: Futures Markets; Hedging; Treasury Bill Futures (search for similar items in EconPapers)
JEL-codes: G11 G13 G14 (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (8)

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