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Forward and Futures Prices: Evidence from the Foreign Exchange Markets
Author(s) -
CORNELL BRADFORD,
REINGANUM MARC R.
Publication year - 1981
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1981.tb01074.x
Subject(s) - futures contract , forward market , treasury , economics , futures market , financial economics , monetary economics , foreign exchange , foreign exchange market , transaction cost , normal backwardation , microeconomics , archaeology , history
Empirical studies of the Treasury Bill markets have revealed substantial differences between the futures price and the implied forward price. These differences have been attributed to taxes, transaction costs, and the settling up procedure employed in the futures market. This paper examines the forward and futures prices in foreign exchange in an attempt to distinguish between the competing explanations.