Developing a trading rule from the FTSE-100 stock index futures contract: Evidence in support of the EMH

Journal of Business Finance and Accounting

Volumn 26, Issue 1-2, 1999, Pages 249-260

  Buckle, M J ^a   Clare, A D ^b   Thomas, S H ^c  

^a SWANSEA UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF READING   (United Kingdom)

^c UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042943461     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00255     Document Type: Article

References (14)

1. Andrews, D.W.K. (1991), 'Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation', Econometrica, Vol. 59, pp. 817-58.
2. Bessimbinder, H. (1993), 'Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets', The Review of Financial Studies, Vol. 5, pp. 637-67.
3. -and K. Chan (1992), 'Time-varying Risk Premia and Forecastable Returns in Futures Markets', Journal of Financial Economics, Vol. 32, pp. 169-93.
4. Bollerslev, T., R.Y. Chou and K.F. Kroner (1992), 'ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence', Journal of Econometrics, Vol. 52, pp. 5-59.
5. Clare, A.D., S.H. Thomas and M.R. Wickens (1994), 'Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?', Economic Journal (March), pp. 303-15.
6. Fama, E.F. (1991), 'Efficient Capital Markets: II', Journal of Finance, Vol. 46, pp. 1575-617.
7. -and K.R. French (1989), 'Business Conditions and Expected Returns on Stocks and Bonds', Journal of Financial Economics, Vol. 23, pp. 23-50.
8. Fleming, J., Ostdiek, B. and R. Whaley (1996), 'Trading Costs and the Relative Rates of Price Discovery in Stock, Futures and Options Markets', Journal of Futures Markets, Vol. 16, pp. 353-87.
9. Keim, D.B. and R.F. Stambaugh (1986), 'Predicting Returns in the Stock and Bond Markets', Journal of Financial Economics, Vol. 17, pp. 357-90.
10. Ljung, G.M. and G.E.P. Box (1978), 'On a Measure of Lack of Fit in Time Series Models', Biometrika, Vol. 65, pp. 297-303.
11. Merton, R. (1980), 'On Estimating the Expected Return on the Market: An Exploratory Investigation', Journal of Financial Economics, Vol. 8, pp. 323-61.
12. Poterba, J. and L. Summers (1988), 'Mean Reversion in Stock Prices: Evidence and Implications', Journal of Financial Economics, Vol. 22, pp. 27-59.
13. Raynauld, J. and J. Tessier (1984), 'Risk Premiums in Futures Markets: An Empirical Investigation', Journal of Futures Markets, Vol. 4, pp. 189-211.
14. Sentana E. and S. Wadhwani (1992), 'Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan', The Review of Economic Studies.