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Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market

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  • Elton, Edwin J
  • Gruber, Martin J
  • Rentzler, Joel

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  • Elton, Edwin J & Gruber, Martin J & Rentzler, Joel, 1984. "Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 129-137, February.
    • Handle: RePEc:tpr:restat:v:66:y:1984:i:1:p:129-37
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    Cited by:

    1. Gupta, Anurag & Subrahmanyam, Marti G., 2000. "An empirical examination of the convexity bias in the pricing of interest rate swaps," Journal of Financial Economics, Elsevier, vol. 55(2), pages 239-279, February.
    2. Robert W. Kolb & Gerald D. Gay, 1985. "A Pricing Anomaly In Treasury Bill Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 157-167, June.
    3. John Bowers & Garry Twite, 1985. "Arbitrage Opportunities in The Australian Share Price Index Futures Contract," Australian Journal of Management, Australian School of Business, vol. 10(2), pages 1-29, December.
    4. Gordon, J. Douglas, 1985. "The Distribution of Daily Changes in Commodity Futures Prices," Technical Bulletins 156817, United States Department of Agriculture, Economic Research Service.
    5. Crotty, Kevin & Teguia, Alberto, 2017. "Estimating asset pricing models with frictions," Economics Letters, Elsevier, vol. 154(C), pages 24-27.
    6. Scalia, Antonio, 1998. "Information transmission and causality in the Italian Treasury bond market," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 361-384, October.
    7. Poskitt, Russell, 2008. "Interest rate futures and forwards: Evidence from the sterling futures and FRA markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 399-412, December.
    8. Eric Girard & Trevor Reid, 2010. "Cost Of Carry On Steroids: Application To Oil Futures Pricing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(2), pages 153-163.
    9. Lin, James Wuh, 1996. "Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 207-222.
    10. A. Bellier-Delienne, 2005. "Synthèse sur les Options de Livraison dans les Contrats à Terme," THEMA Working Papers 2005-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    11. Poskitt, Russell, 2008. "The truth about interest rate futures and forwards: Evidence from high frequency data," Global Finance Journal, Elsevier, vol. 18(3), pages 319-336.
    12. Michael T. Belongia & Richard G. Sheehan, 1985. "The efficient markets hypothesis and weekly money: some contrary evidence," Working Papers 1985-004, Federal Reserve Bank of St. Louis.
    13. Wimschulte, Jens, 2010. "The futures and forward price differential in the Nordic electricity market," Energy Policy, Elsevier, vol. 38(8), pages 4731-4733, August.
    14. Jayendu Patel & Richard J. Zeckhauser, 1987. "Treasury Bill Futures as Hedges Against Inflation Risk," NBER Working Papers 2322, National Bureau of Economic Research, Inc.

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