Testing the efficient market hypothesis in conditionally heteroskedastic futures markets

Joakim Westerlund, Paresh Narayan

Research output: Contribution to journalArticleResearchpeer-review

30 Citations (Scopus)


Most empirical evidence suggests that the efficient market hypothesis, stating that spot and futures prices should cointegrate with a unit slope on futures prices, does not hold. These results have recently motivated researchers to start looking for more "informative" tests, and the current paper takes a step in this direction. However, unlike existing tests, the test proposed here exploits the information contained in the heteroskedasticity of the data, which is expected to lead to more accurate inference, a result that is confirmed by our findings.

Original languageEnglish
Pages (from-to)1024-1045
Number of pages22
JournalJournal of Futures Markets
Issue number11
Publication statusPublished - Nov 2013
Externally publishedYes

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