Westerlund, Joakim; Norkute, Milda; Narayan, Paresh K - Deakin University, Faculty of Business and Law, School …
Most empirical evidence suggests that the efficient futures market hypothesis, henceforth referred to as EFMH, stating that spot and futures prices should cointegrate with a unit slope on futures prices, does not hold, a finding at odds with many theoretical models. This paper argues that these...
