Atlantic Economic Journal

, Volume 14, Issue 3, pp 51–55 | Cite as

Conformity with large speculators: A test of efficiency in the grain futures market

  • Arshad M. Khan
Articles

Conclusions

The results prove fairly conclusively that the market is efficient in the semi-strong form, and use of the kind of publicly available information that has been considered does not generate abnormal returns. Houthakker [1957] and Rockwell [1967], in the separate studies mentioned previously, have both reported substantial returns to large speculators. Thus, it appears that the time lag of 11 days is sufficient to remove any benefits that might otherwise accrue to the positions taken.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Colin A. Carter, Gordon C. Rausser, and Andrew Schmitz, “Efficient Asset Portfolios and the Theory of Normal Backwardation,”Journal of Political Economy, 91, April 1983, pp. 319–31.Google Scholar
  2. Charles C. Cox, “Futures Trading and Market Information,”Journal of Political Economy, 84, December 1976, pp. 1215–37.Google Scholar
  3. Katherine Dusak, “Futures Trading and Investor Returns: An Investigation of Commodity Risk Premiums,”Journal of Political Economy, 81, November 1973, pp. 1387–1406.Google Scholar
  4. Eugene F. Fama, “Efficient Capital Markets: A Review of Theory and Empirical Work,”Journal of Finance, 25, May 1970, pp. 317–28.Google Scholar
  5. Frederick L. A. Grauer, “A Test of the Hypothesis that Backwardation is a Function of the Real Social Risk of Commodity Futures Contracts,”Ph.D. Dissertation, Stanford University, 1977, pp. 70–119.Google Scholar
  6. Hendrik S. Houthakker, “Can Speculators Forecast Prices?,”Review of Economics and Statistics, 39, May 1957, pp. 143–51.Google Scholar
  7. __, “Systematic and Random Elements in Short-Term Price Movements,”American Economic Review, 51, May 1961, pp. 164–72.Google Scholar
  8. J. Jaffe, “Special Information and Insider Trading,”Journal of Business, 47, July 1974, pp. 410–28.CrossRefGoogle Scholar
  9. Raymond M. Leuthold, “Random Walk and Price Trends: The Live Cattle Futures Market,”Journal of Finance, 27, September 1972, pp. 879–89.Google Scholar
  10. J. Lintner, “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,”Review of Economics and Statistics, 47, February 1965, pp. 13–37.Google Scholar
  11. Alan J. Marcus, “Efficient Asset Portfolios and the Theory of Normal Backwardation: A Comment,”Journal of Political Economy, 92, February 1984, pp. 162–64.Google Scholar
  12. J. Mossin, “Equilibrium in a Capital Asset Market,”Econometrica, 34, October 1966, pp. 768–83.Google Scholar
  13. Gordon C. Rausser and Colin Carter, “Futures Market Efficiency in the Soybean Complex,”Review of Economics and Statistics, 65, August 1983, pp. 468–78.Google Scholar
  14. Charles S. Rockwell, “Normal Backwardation, Forecasting, and the Returns to Commodity Futures Traders,”Food Research Institute Studies, 7 Supplement, 1967, pp. 167–89.Google Scholar
  15. William F. Sharpe, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,”Journal of Finance, 19, September 1964, pp. 425–42.Google Scholar
  16. __,Investments, Englewood Cliffs, N.J.: Prentice-Hall, 1978.Google Scholar
  17. R. A. Stevenson and R. M. Bear, “Commodity Futures, Trends or Random Walks,”Journal of Finance, 25, March 1970, pp. 65–81.Google Scholar

Copyright information

© Atlantic Economic Society 1986

Authors and Affiliations

  • Arshad M. Khan
    • 1
  1. 1.University of Texas at ArlingtonUSA

Personalised recommendations