IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v16y2009i11p1129-1132.html
   My bibliography  Save this article

Efficiency tests of the UK financial futures markets and the impact of electronic trading systems: a note on relative market efficiency

Author

Listed:
  • Kian-Ping Lim

Abstract

The literature on weak-form efficient market hypothesis (EMH) has experienced a phenomenal growth over the past few decades, with the empirical framework mostly directed towards testing the absolute version of market efficiency. Evans (2006) represents a small amount of studies that addressed the relative efficiency of financial markets. The present paper discusses the limitations of absolute market efficiency and surveys some measures proposed for assessing relative efficiency in extant literature.

Suggested Citation

  • Kian-Ping Lim, 2009. "Efficiency tests of the UK financial futures markets and the impact of electronic trading systems: a note on relative market efficiency," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1129-1132.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:11:p:1129-1132
    DOI: 10.1080/13504850701335350
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850701335350&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504850701335350?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Benjamin Miranda Tabak, 2002. "The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case," Working Papers Series 58, Central Bank of Brazil, Research Department.
    2. Samir Saadi & Devinder Gandhi & Khaled Elmawazini, 2006. "On the validity of conventional statistical tests given evidence of non-synchronous trading and non-linear dynamics in returns generating process," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 301-305.
    3. Slezak, Steve L., 2003. "On the Impossibility of Weak-Form Efficient Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(3), pages 523-554, September.
    4. Twm Evans, 2006. "Efficiency tests of the UK financial futures markets and the impact of electronic trading systems," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1273-1283.
    5. Neil Kellard & Paul Newbold & Tony Rayner & Christine Ennew, 1999. "The relative efficiency of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 413-432, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cagli, Efe Caglar & Taskin, Dilvin & Evrim Mandaci, Pınar, 2019. "The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models," Energy Economics, Elsevier, vol. 84(C).
    2. Araújo, Aloísio Pessoa de & Leon, Márcia Saraiva, 2003. "Speculative attacks on debts and optimum currency area: a welfare analysis," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 514, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    4. Minella, Andre & de Freitas, Paulo Springer & Goldfajn, Ilan & Muinhos, Marcelo Kfoury, 2003. "Inflation targeting in Brazil: constructing credibility under exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 1015-1040, December.
    5. Leonardo Soriano de Alencar & Márcio I. Nakane, 2004. "Bank Competition, Agency Costs and the Performance of the Monetary Policy," Working Papers Series 81, Central Bank of Brazil, Research Department.
    6. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
    7. Leonardo Soriano de Alencar & Márcio I. Nakane, 2003. "Real Balances in the Utility Function: Evidence for Brazil," Working Papers Series 68, Central Bank of Brazil, Research Department.
    8. Joseph M. Santos, 2014. "Back to the futures: An assessment of market performance on the early Winnipeg Grain Exchange," Canadian Journal of Economics, Canadian Economics Association, vol. 47(4), pages 1426-1448, November.
    9. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
    10. Jay Squalli, 2006. "A non-parametric assessment of weak-form efficiency in the UAE financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(18), pages 1365-1373.
    11. Charles Lima De Almeida & Marco Aur�LIO Peres & Geraldo Da Silva E Souza & Benjamin Miranda Tabak, 2003. "Optimal monetary rules: the case of Brazil," Applied Economics Letters, Taylor & Francis Journals, vol. 10(5), pages 299-302, April.
    12. Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke, 2016. "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 623-639.
    13. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
    14. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.
    15. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
    16. Guanqing Liu, 2019. "Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 669-704, August.
    17. H. Holly Wang & Bingfan Ke, 2005. "Efficiency tests of agricultural commodity futures markets in China," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(2), pages 125-141, June.
    18. Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
    19. Vasileios Kallinterakis & Nomana Munir & Mirjana Radovic-Markovic, 2010. "Herd Behaviour, Illiquidity and Extreme Market States," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 305-324, December.
    20. Daniel Cajueiro & Benjamin Tabak, 2006. "The long-range dependence phenomena in asset returns: the Chinese case," Applied Economics Letters, Taylor & Francis Journals, vol. 13(2), pages 131-133.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:16:y:2009:i:11:p:1129-1132. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.