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Trading Frictions and Futures Price Movements

Published online by Cambridge University Press:  06 April 2009

David H. Goldenberg
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Abstract

In a perfectly efficient market, after adjusting for drift, futures prices would follow a martingale model. The martingale property implies that the changes in futures prices should be serially uncorrelated. This study finds that the price changes of the S&P 500 futures contracts during 1983 and 1984 have negative serial correlation and are better described by a random walk model with reflecting barriers or by a random walk model with reflecting barriers and mean reversion.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 23 , Issue 4 , December 1988 , pp. 465 - 481
Copyright
Copyright © School of Business Administration, University of Washington 1988

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