The hypothesis that futures price is an unbiased predictor of the future spot price has been oneof the most controversial topics in the empirical literature on market efficiency. The conflictingresults provided so far are not robust to the time period considered or to the econometricmethod...

Futures market efficiency has been one of the most researched topics for a number of years.The huge amount of results produced, highly dependent on the econometric techniquesadopted and on the time period analysed, are often conflicting: for a given market, someauthors find evidence of...