Westerlund, Joakim; Norkute, Milda; Narayan, Paresh Kumar - In: Journal of Futures Markets 35 (2015) 4, pp. 357-370
<section xml:id="fut21687-sec-0001"> Most empirical evidence suggests that the efficient futures market hypothesis, henceforth referred to as EFMH, stating that spot and futures prices should cointegrate with a unit slope on futures prices, does not hold, a finding at odds with many theoretical models. This article argues that...</section>