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Testing rationality in futures markets

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  • Christopher K. Ma
  • William H. Dare
  • Darla R. Donaldson

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  • Christopher K. Ma & William H. Dare & Darla R. Donaldson, 1990. "Testing rationality in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(2), pages 137-152, April.
    • Handle: RePEc:wly:jfutmk:v:10:y:1990:i:2:p:137-152
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    Cited by:

    1. Christopher K. Ma, 1990. "Mean Reversions in GNMA Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(2), pages 207-226, June.
    2. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
    3. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
    4. Dwight R. Sanders & Scott H. Irwin & Raymond M. Leuthold, 1997. "Noise Traders, Market Sentiment, and Futures Price Behavior," Finance 9707001, University Library of Munich, Germany.
    5. Marcelle Arak & Richard Cook, 1997. "Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(1), pages 5-20, August.
    6. Henke, Harald & Voronkova, Svitlana, 2005. "Price limits on a call auction market: Evidence from the Warsaw Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 439-453.
    7. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    8. Wang, Changyun & Yu, Min, 2004. "Trading activity and price reversals in futures markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1337-1361, June.
    9. Aparicio, Felipe M., 1998. "Modelling adaptive complex behaviour with an application to the stock markets dynamics," DES - Working Papers. Statistics and Econometrics. WS 6284, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Jun Yuan & Qi Xu & Ying Wang, 2023. "Probability weighting in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 516-548, April.
    11. Xiaojie Xu & Yun Zhang, 2022. "Commodity price forecasting via neural networks for coffee, corn, cotton, oats, soybeans, soybean oil, sugar, and wheat," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(3), pages 169-181, July.
    12. Kwok-Wah Fung, Alexander & Lam, Kin, 2004. "Overreaction of index futures in Hong Kong," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 331-351, June.

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