Is the Futures Market for Treasury Bills Efficient?

Vignola, Anthony and Dale, Charles (1979): Is the Futures Market for Treasury Bills Efficient? Published in: The Journal of Portfolio Management , Vol. 5, (1979): pp. 78-81.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Futures Markets; Hedging; Treasury Bill Futures
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

References

Cornell, W. and Dietrich, J., “The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates,” Review of Economics and Statistics, 60 (February 1978), pp. 111-120.

Fama, Eugene, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, 25 (May 1970), pp. 383-420.

Froewiss, Kenneth, “GNMA Futures: Stabilizing or Destabilizing,” San Francisco Federal Reserve Bank Economic Review (Spring 1978), pp. 20-29.

Puglisi, Don, “Is the Futures Market for Treasury Bills Efficient?,” Journal of Portfolio Management, 4 (Winter 1978), pp. 64-67.

Sandor, Richard, “Comment (on a paper by L. Ederington and L. Plumly),” in Futures Trading Seminar Proceedings, Vol. 5, Chicago: Chicago Board of Trade (1976).