A trading simulation test for weak-form efficiency in live cattle futures

Weak-Form Efficiency In The German Stock Market

A test of the efficiency of futures markets in commodities

Testing for Weak-form Efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and futures prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are b...

weak-form efficiency in the german stock market

Trading Volatility Spreads: A Test of Index Option Market Efficiency

If returns on two assets share common volatility components, the prices of options on the assets should be interdependent and the implied volatility spread should mean revert. We first demonstrate, using the canonical correlation method, that there is a common component among the volatilities of the returns on S&P 100 and S&P 500 indexes. We then exploit this commonality by trading on the volat...