| dc.description.abstract | This thesis tests the efficiency of the U.K. financial futures
market, using data over the period from September 1982 to March
1985. In examining the efficiency of the U.K. financial futures
market a number of significant contributions are made to the
existing literature.
First, efficiency is examined on a data set that has not been
rigorously examined. Second, more comprehensive tests of efficiency
are proposed within this thesis than are reported elsewhere in
the literature.
chapter one provides a summary and review of the issues examined
in the thesis. A detailed explanation of what constitutes a
financial futures contract is given in chapter two, which covers
the operational and institutional aspects of financial futures
markets.
A comprehensive survey of the literature is presented in chapters
three and four. Chapter three looks in detail at the early theory
and discusses the theoretical issues that are relevant in terms of
financial futures. Chapter four examines the empirical literature
and issues involved in testing efficiency.
Five hypotheses are proposed that a financial futures market
should possess. These hypotheses are then used to test efficiency
on the U.K. financial futures market in chapters five to eight.
First, arbitrage opportunities should not exist between the
futures market and the underlying cash or the corresponding
forward market. Second, it should not be possible to develop
profitable pricing rules on the basis of past prices. Third,
assuming risk neutrality, futures rates should be unbiased
predictions of the futures rate at the maturity day of the contract.
Fourth, news effects should explain any forecast errors that arise.
Fifth, futures rates should incorporate all relevant information
and hence exhibit variance.
The rigorous examination of these different hypotheses finds that
the U.K. financial futures market is efficient | en_US |
