Journal of Banking & Finance Vol. 24 No. 5 2000
Efficiency tests in the French derivatives market
Abstract
The French derivatives market, the Marché à Terme International de France (MATIF) or the French International Futures and Options Exchange is one of the major derivatives markets in the world. The efficiency of four 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 tests, and variance ratio tests provide overwhelming evidence that the random walk hypothesis cannot be rejected for these contracts.
- DOI
- 10.1016/s0378-4266(99)00067-9
- Volume
- 24
- Issue
- 5
- Pages
- 787-807
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib