AN INVESTIGATION INTO THE CAUSES OF NON-MARTINGALE BEHAVIOR IN COMMODITY FUTURES PRICES.
The weak form of the efficient markets hypothesis has been tested extensively in financial asset markets. The results of these tests indicate that the hypothesis that stock prices fully reflect available information generally cannot be rejected. When tested in commodity futures markets, however, the hypothesis does not retain its impeccable character. A survey of tests of efficiency in commodity markets reveals significant departures from the standard concepts of weak form market efficiency. The purpose of this research is to explain the causes or reasons for non-martingale behavior in commodity futures prices.
Authors: | BARNHART, SCOTT WESLEY. |
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Institutions: | Texas A&M University |
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