CaltechAUTHORS
  A Caltech Library Service

Futures Markets and Informational Efficiency: A Laboratory Examination

Forsythe, Robert and Palfrey, Thomas R. and Plott, Charles R. (1984) Futures Markets and Informational Efficiency: A Laboratory Examination. Journal of Finance, 39 (4). pp. 955-981. ISSN 0022-1082. https://resolver.caltech.edu/CaltechAUTHORS:20140324-102333150

Full text is not posted in this repository. Consult Related URLs below.

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20140324-102333150

Abstract

Through the use of laboratory market methodology, the effect of a futures market on the time path of asset prices is studied and competing models of asset pricing are analyzed. With replication of market conditions, the predictions of rational expectations equilibrium model are relatively accurate whether or not futures markets are present. However, the presence of futures markets increases the speed with which an efficient equilibrium is achieved. While this more rapid adjustment can increase the variance of spot market prices as they move to equilibrium, this increased variance reflects efficiency gains due to better information.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.2307/2327607 DOIArticle
http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1984.tb03887.x/abstractPublisherArticle
http://www.jstor.org/stable/2327607OrganizationJSTOR
ORCID:
AuthorORCID
Palfrey, Thomas R.0000-0003-0769-8109
Additional Information:© 1984 American Finance Association. Earlier versions of these results were presented at the Western Economic Association meeting in San Diego in June 1980 and at the World Congress meetings in Aix-en-Provence, France in September 1980. We thank those audiences for useful comments and discussion. We would also like to thank Forrest D. Nelson for his helpful suggestions.
Issue or Number:4
Record Number:CaltechAUTHORS:20140324-102333150
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20140324-102333150
Official Citation:FORSYTHE, R., PALFREY, T. R. and PLOTT, C. R. (1984), Futures Markets and Informational Efficiency: A Laboratory Examination. The Journal of Finance, 39: 955–981. doi: 10.1111/j.1540-6261.1984.tb03887.x
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:44453
Collection:CaltechAUTHORS
Deposited By: Susan Vite
Deposited On:03 Apr 2014 17:50
Last Modified:22 Nov 2019 09:58

Repository Staff Only: item control page