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Measuring patterns of price movements in the Treasury bill futures market

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  • Dale, Charles
  • Workman, Rosemarie

Abstract

There has been tremendous growth in interest rate futures markets since their beginning in 1975, both in terms of trading volume and the proliferation of new types of contracts. This paper focuses on the Treasury bill futures market and uses a descriptive statistic which was devised by Holbrook Working for the express purpose of analyzing price movements in commodity futures markets. When applied to the Treasury bill futures market, the statistic has been able to discover patterns of price movements that could not be detected by either the more traditional Box-Jenkins techniques or by spectral analysis.

Suggested Citation

  • Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:48639
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    References listed on IDEAS

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    1. Kane, Edward J, 1980. "Market Incompleteness and Divergences between Forward and Future Interest Rates," Journal of Finance, American Finance Association, vol. 35(2), pages 221-234, May.
    2. Holbrook Working, 1948. "Theory of the Inverse Carrying Charge in Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 30(1), pages 1-28.
    3. Paul Cicchetti & Charles Dale & Anthony J. Vignola, 1981. "Usefulness of treasury bill futures as hedging instruments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(3), pages 379-387, September.
    4. Dale, Charles, 1981. "Brownian motion in the treasury bill futures market," MPRA Paper 46530, University Library of Munich, Germany.
    5. Vignola, Anthony & Dale, Charles, 1979. "Is the Futures Market for Treasury Bills Efficient?," MPRA Paper 48762, University Library of Munich, Germany.
    6. Larson, Arnold B., 1960. "Measurement of a Random Process in Futures Prices," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 1(3), pages 1-12.
    7. Capozza, Dennis R & Cornell, Bradford, 1979. "Treasury Bill Pricing in the Spot and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 513-520, November.
    8. Vignola, Anthony & Dale, Charles, 1980. "The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications," MPRA Paper 48812, University Library of Munich, Germany.
    9. Working, Holbrook, 1974. "Measurement of Cycles in Speculative Prices," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 13(1), pages 1-24.
    10. Larson, Arnold B., 1960. "Measurement of a Random Process in Futures Prices," WAEA/ WFEA Conference Archive (1929-1995) 323441, Western Agricultural Economics Association.
    11. Brinegar, Claude S., 1970. "A Statistical Analysis of Speculative Price Behavior," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 9(Supplemen), pages 1-72.
    12. Larson, Arnold B., 1967. "Price Prediction on the Egg Futures Market," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 7(Supplemen), pages 1-16.
    13. Dale, Charles & Workman, Rosemarie, 1980. "The arc sine law and the treasury bill futures market," MPRA Paper 46101, University Library of Munich, Germany.
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    Citations

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    Cited by:

    1. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    2. Dennis, Steven A. & Sim, Ah Boon, 1999. "Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 153-163, June.
    3. S. Wong & C. Yiu & M. Tse & K. Chau, 2006. "Do the Forward Sales of Real Estate Stabilize Spot Prices?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 289-304, May.
    4. Cheol‐Ho Park & Scott H. Irwin, 2010. "A reality check on technical trading rule profits in the U.S. futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 633-659, July.
    5. Dale, Charles, 1991. "Economics of Energy Futures Markets," MPRA Paper 47447, University Library of Munich, Germany.
    6. Charles Dale, 1981. "The hedging effectiveness of currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(1), pages 77-88, March.
    7. Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs, 1979. "Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System," MPRA Paper 58897, University Library of Munich, Germany.
    8. Ahmad, Mashood & Ali, Syed Babar, 2008. "Technical Analysis in the Stock Markets of Pakistan: A Case of Commercial Banks," MPRA Paper 64521, University Library of Munich, Germany.
    9. Dale, Charles, 1984. "A Search for Business Cycles with Spectral Analysis," MPRA Paper 49508, University Library of Munich, Germany.

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    More about this item

    Keywords

    Futures markets; Treasury bills; Market efficiency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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