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...

In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were more effective than T-Bill futures in reducing price...

The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...

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...

Until the existence of financial futures, testing the determinants and the informational content of futures market prices has been difficult because of the vagaries associated with commodity markets. In the case of Treasury bill futures, the existence of an active secondary market and the...

Until very recently, commodity futures were largely ignored by the vast majority of economists. At the same time, markets for foreign currencies were studied by only a relative handful of specialists in international trade and finance. This article examines a subject which overlaps the two very...

The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...

According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual...