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| Tekijä: | Lee, C.I. Gleason, K.C. Mathur, I. |
| Otsikko: | Efficiency tests in the French derivatives market |
| Lehti: | Journal of Banking and Finance
2000 : MAY, VOL. 24:5, p. 787-807 |
| Asiasana: | Stock markets Efficiency France Europe |
| Vapaa asiasana: | Random walk |
| Kieli: | eng |
| Tiivistelmä: | The French derivatives market, the Marche a Terme International de France (MATIF) is one of the major derivatives markets in the world. The efficiency of 4 financial contracts traded on the MATIF-CAC40 Index Futures, ECU Bond Futures, National Bond Futures, and PIBOR 3-Month Futures are examined in this paper. Test results from serial correlations, unit root test, and variance ratio tests provide overwhelming evidence that the random walk hypothesis cannot be rejected for these contracts. |
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