Abstract
The efficiency of futures markets is explored by applying trend-following trading rules to simulated prices and to the prices of currency and commodity futures. The simulation results prove that the rules can exploit price trends consistent with the small autocorrelations observed for futures returns. Out-of-sample net excess returns are reported for IMM sterling, deutschemark and Swiss franc futures (1982–87) and for London cocoa and sugar futures (1982–85).Assuming futures have zero or negative “betas” the excess returns provide persuasive evidence against market efficiency.
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© 1989 Springer-Verlag Berlin Heidelberg
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Taylor, S.J., Tari, A. (1989). Further Evidence Against the Efficiency of Futures Markets. In: Guimarães, R.M.C., Kingsman, B.G., Taylor, S.J. (eds) A Reappraisal of the Efficiency of Financial Markets. NATO ASI Series, vol 54. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-74741-0_36
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DOI: https://doi.org/10.1007/978-3-642-74741-0_36
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