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Abstract

There has been tremendous growth in interest rate futures markets since their beginning in 1975, both in terms of trading volume and the proliferation of new types of contracts. This paper focuses on the Treasury bill futures market and uses a descriptive statistic which was devised by Holbrook Working for the express purpose of analyzing price movements in commodity futures markets. When applied to the Treasury bill futures market, the statistic has been able to discover patterns of price movements that could not be detected by either the more traditional Box-Jenkins techniques or by spectral analysis.



Item Type: MPRA Paper -

Original Title: Measuring patterns of price movements in the Treasury bill futures market-

Language: English-

Keywords: Futures markets; Treasury bills; Market efficiency-

Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment DecisionsG - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest RatesG - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures PricingG - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading-





Autor: Dale, Charles

Fuente: https://mpra.ub.uni-muenchen.de/48639/







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