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Market efficiency among futures with different maturities: Evidence from the crude oil futures market
Author(s) -
Kawamoto Kaoru,
Hamori Shigeyuki
Publication year - 2011
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20479
Subject(s) - futures contract , cointegration , maturity (psychological) , market efficiency , economics , econometrics , west texas intermediate , futures market , financial economics , crude oil , autoregressive conditional heteroskedasticity , psychology , volatility (finance) , developmental psychology , petroleum engineering , engineering
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