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Is the Futures Market for Treasury Bills Efficient?

Author

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  • Vignola, Anthony
  • Dale, Charles

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.

Suggested Citation

  • Vignola, Anthony & Dale, Charles, 1979. "Is the Futures Market for Treasury Bills Efficient?," MPRA Paper 48762, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:48762
    as

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    File URL: https://mpra.ub.uni-muenchen.de/48762/1/MPRA_paper_48762.pdf
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    References listed on IDEAS

    as
    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    2. Kenneth Froewiss, 1978. "GNMA futures: stabilizing or destabilizing?," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-29.
    3. Cornell, W Bradford & Dietrich, J Kimball, 1978. "The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates," The Review of Economics and Statistics, MIT Press, vol. 60(1), pages 111-120, February.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Dale, Charles, 1991. "Economics of Energy Futures Markets," MPRA Paper 47447, University Library of Munich, Germany.
    2. 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.
    3. 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.
    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 & 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.
    6. Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    7. Jergensen, Dale William, 1982. "An investigation of uses for financial futures in the agricultural equipment industry," ISU General Staff Papers 1982010108000017436, Iowa State University, Department of Economics.
    8. 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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    More about this item

    Keywords

    Futures Markets; Hedging; Treasury Bill Futures;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • 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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