{"id":"https://openalex.org/W1968142583","doi":"https://doi.org/10.2307/1924704","title":"Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market","display_name":"Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market","publication_year":1984,"publication_date":"1984-02-01","ids":{"openalex":"https://openalex.org/W1968142583","doi":"https://doi.org/10.2307/1924704","mag":"1968142583"},"language":"en","primary_location":{"id":"doi:10.2307/1924704","doi":"https://doi.org/10.2307/1924704","is_oa":false,"landing_page_url":"https://doi.org/10.2307/1924704","pdf_url":null,"source":{"id":"https://openalex.org/S180061323","display_name":"The Review of Economics and Statistics","issn_l":"0034-6535","issn":["0034-6535","1530-9142"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310315718","host_organization_name":"The MIT Press","host_organization_lineage":["https://openalex.org/P4310315718","https://openalex.org/P4310316440"],"host_organization_lineage_names":["The MIT Press","Massachusetts Institute of Technology"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Review of Economics and Statistics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5082402207","display_name":"Edwin J. Elton","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Edwin J. Elton","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101911023","display_name":"Martin J. Gruber","orcid":"https://orcid.org/0000-0002-8086-9413","observed_orcids":["https://orcid.org/0000-0002-8086-9413"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Martin J. Gruber","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5035262549","display_name":"Joel C. Rentzler","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Joel Rentzler","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":24.7432,"has_fulltext":false,"cited_by_count":73,"citation_normalized_percentile":{"value":0.99385923,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":95},"biblio":{"volume":"66","issue":"1","first_page":"129","last_page":"129"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/treasury-bill-futures","display_name":"Treasury bill futures","score":0.8809999823570251},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.9610000252723694},{"id":"https://openalex.org/keywords/arbitrage","display_name":"arbitrage","score":0.7070000171661377},{"id":"https://openalex.org/keywords/trading-strategies","display_name":"trading strategies","score":0.48100000619888306},{"id":"https://openalex.org/keywords/spot-futures-price-relationship","display_name":"futures-spot price relationship","score":0.48100000619888306},{"id":"https://openalex.org/keywords/random-walks","display_name":"random walks","score":0.5339999794960022},{"id":"https://openalex.org/keywords/random-walk-with-drift","display_name":"random walk with drift","score":0.4180000126361847},{"id":"https://openalex.org/keywords/trading-rule-profitability","display_name":"trading rule profitability","score":0.3490000069141388},{"id":"https://openalex.org/keywords/efficient-market-hypothesis","display_name":"efficient market hypothesis","score":0.3720000088214874}],"concepts":[{"id":"https://openalex.org/C2780889827","wikidata":"https://www.wikidata.org/wiki/Q10756188","display_name":"Treasury","level":2,"score":0.9103573560714722},{"id":"https://openalex.org/C2983622608","wikidata":"https://www.wikidata.org/wiki/Q2298435","display_name":"Futures market","level":3,"score":0.8601281642913818},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7800202369689941},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5214006900787354},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4441053867340088},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.39923393726348877},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.38782641291618347},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3658517599105835},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.06109580397605896},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2307/1924704","doi":"https://doi.org/10.2307/1924704","is_oa":false,"landing_page_url":"https://doi.org/10.2307/1924704","pdf_url":null,"source":{"id":"https://openalex.org/S180061323","display_name":"The Review of Economics and Statistics","issn_l":"0034-6535","issn":["0034-6535","1530-9142"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310315718","host_organization_name":"The MIT Press","host_organization_lineage":["https://openalex.org/P4310315718","https://openalex.org/P4310316440"],"host_organization_lineage_names":["The MIT Press","Massachusetts Institute of Technology"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Review of Economics and Statistics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:tpr:restat:v:66:y:1984:i:1:p:129-37","doi":null,"is_oa":false,"landing_page_url":"http://links.jstor.org/sici?sici=0034-6535%28198402%2966%3A1%3C129%3AITOTEO%3E2.0.CO%3B2-O&origin=repec","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1487095578","https://openalex.org/W1551785054","https://openalex.org/W1984631714","https://openalex.org/W2031984269","https://openalex.org/W2058064694","https://openalex.org/W2071492582","https://openalex.org/W2083071674","https://openalex.org/W2140596139","https://openalex.org/W2257126197"],"related_works":["https://openalex.org/W1589901727","https://openalex.org/W2041336866","https://openalex.org/W2071492582","https://openalex.org/W1973307352","https://openalex.org/W2014443533","https://openalex.org/W1598353480","https://openalex.org/W562202693","https://openalex.org/W143919467","https://openalex.org/W2129009990","https://openalex.org/W1993978126"],"abstract_inverted_index":{"In":[0,308,323,476],"this":[1,145,216,324,477,542],"paper":[2,98,146,183],"we":[3,49,166,326,379,429,479,496],"use":[4,18],"intra-day":[5,20,185,316,330,398],"prices":[6,165,186,196,265,289,299,313,331,340,356,399,462,574,636],"to":[7,24,151,187,197,269,278,321,343,396,408,415,487,563,565,577,581,605,614,663,718],"examine":[8,188,198,430,498],"the":[9,12,31,47,100,103,152,173,234,237,247,254,282,333,362,383,416,419,422,490,499,530,545,554,568,583,597,619,678,689,720,723],"efficiency":[10,86,93,101,679],"of":[11,19,75,85,92,102,142,236,368,421,484,492,501,532,557,599,611,621,635,725],"Treasury":[13,104],"bill":[14,105],"futures":[15,32,106,164,239,255,336,503,506,526,573],"market.":[16,107,337],"The":[17,154,424,444,452,521,535,681,714],"data":[21,639],"allows":[22],"us":[23],"carefully":[25,401],"match":[26,327],"in":[27,30,328,332,361,382,441,640,652,655,671],"time":[28,329,420],"trades":[29,38,177,280,293,317,352,410],"and":[33,39,46,60,94,116,122,126,130,135,201,240,290,335,400,460,470,549,560,572,637,657,710],"cash":[34,523],"markets.":[35,244],"By":[36],"matching":[37,402],"allowing":[40],"delays":[41],"between":[42,233,570],"observing":[43],"apparent":[44,199,271],"inefficiencies":[45,200],"trade,":[48],"are":[50,82,139,212,341,358,393,625,650],"examining":[51],"realistic":[52,170],"trading":[53,347,370,433,474,482,493,587,612],"strategies.":[54,588,623],"We":[55,349],"find":[56],"profitable":[57,346],"arbitrage,":[58],"swaps":[59],"a":[61,89,140,366,369,449,591,641],"preferred":[62],"strategy":[63],"for":[64,260,489,691,698,722,732],"initial":[65],"purchase.":[66],"These":[67,338,391,631],"profits":[68],"do":[69],"not":[70],"depend":[71],"on":[72,287,525],"an":[73,76,148,230,262,301,373],"assumption":[74],"equilibrium":[77],"model.":[78],"Hence":[79],"these":[80,208,298,622,648],"tests":[81,84],"direct":[83],"rather":[87,507],"than":[88,435,508,677],"joint":[90],"test":[91,367,488],"equilibrium.":[95],"T":[96],"HIS":[97],"examines":[99],"This":[108,182,364,589],"subject":[109],"has":[110,257,604,673],"been":[111,258,439],"examined":[112,467,607],"before":[113],"by":[114,159,162,547],"Capozza":[115],"Cornell":[117,119],"(1979),":[118,128,132],"(1981),":[120],"Lang":[121],"Rasche":[123],"(1978),":[124,134],"Rendleman":[125,548,656],"Carabini":[127,550],"Vignola":[129],"Dale":[131],"Poole":[133],"Puglisi":[136],"(1978).":[137],"There":[138,211,227,624],"number":[141],"reasons":[143],"why":[144],"makes":[147],"important":[149],"contribution":[150],"literature.":[153,680],"first":[155,593],"reason":[156,426,662],"is":[157,228,252,300,365,427,544,590,660],"that":[158,203,405,428,539,643],"using":[160,310,397],"trade":[161,163],"can":[167,294,528,644],"make":[168],"more":[169,431,472,675],"assumptions":[171],"about":[172,261],"pnces":[174],"at":[175,192,207,224,281,297,355,418,728],"which":[176,303,318,357,372,437],"could":[178,266,304,319,375],"have":[179,438],"taken":[180],"place.":[181],"uses":[184],"efficiency.":[189],"Prior":[190],"studies":[191,456,466],"best":[193],"used":[194,268,342,407,553],"closing":[195,209,225,235,248,288,312],"assumed":[202],"transactions":[204,220],"took":[205],"place":[206,296,354],"prices.":[210,226],"two":[213],"problems":[214,627,649],"with":[215,628],"procedure.":[217],"First,":[218],"simultaneous":[219],"cannot":[221],"actually":[222,376,412],"occur":[223],"almost":[229],"hour":[231],"difference":[232,569],"Chicago":[238],"New":[241,704,707],"York":[242,705,708],"spot":[243,249,334],"Thus":[245],"when":[246],"market":[250,256],"price":[251],"observed":[253,359],"closed":[259],"hour.":[263],"Closing":[264],"be":[267,276,413,578,606],"judge":[270],"discrepancies.":[272],"However,":[273,595],"it":[274,617],"would":[275,411,716],"necessary":[277],"execute":[279],"open.":[283],"Making":[284],"decisions":[285],"based":[286],"then":[291,350],"assuming":[292],"take":[295,353],"approximation":[302],"significantly":[305],"affect":[306,529,582],"results.":[307],"addition,":[309],"only":[311,536],"ignores":[314],"any":[315,533],"lead":[320],"profits.":[322,494],"study":[325,478,538],"matched":[339],"identify":[344],"apparently":[345],"rules.":[348,475],"assume":[351],"later":[360,381],"day.":[363,520],"rule":[371],"investor":[374,417],"follow.":[377],"As":[378],"discuss":[380],"paper,":[384],"our":[385],"results":[386],"differ":[387],"from":[388,585],"prior":[389,537,629],"studies.":[390,443,630],"differences":[392],"primarily":[394],"due":[395],"times":[403],"so":[404],"information":[406],"initiate":[409],"available":[414],"trade.":[423],"second":[425],"complex":[432],"strategies":[434,613],"those":[436],"employed":[440],"other":[442,471,626],"random":[445,454],"walk":[446,455],"literature":[447],"provides":[448],"useful":[450,592],"analogy.":[451],"original":[453],"simply":[457],"correlated":[458],"past":[459],"future":[461],"or":[463,602],"returns.":[464],"Later":[465],"filter":[468],"rules":[469,483],"complicated":[473],"employ":[480],"alternative":[481,586],"increased":[485],"complexity":[486],"existence":[491],"Finally,":[495],"explicitly":[497],"consequence":[500],"T-bills":[502],"contracts":[504,527],"being":[505],"forward":[509,514,571],"contracts.":[510],"Futures":[511,726],"contracts,":[512,515],"unlike":[513],"involve":[516,632],"flows":[517,524],"every":[518],"settlement":[519,601],"intermediate":[522],"profitability":[531],"strategy.":[534],"even":[540,687],"considered":[541],"effect":[543,598],"one":[546],"(1979).":[551],"They":[552],"theoretical":[555],"model":[556],"Cox,":[558],"Ingersoll":[559],"Ross":[561],"(1981)":[562],"try":[564],"estimate":[566],"whether":[567],"was":[575],"likely":[576],"large":[579],"enough":[580],"payoff":[584],"attempt.":[594],"ultimately":[596],"daily":[600],"marking-to-the-market":[603],"directly":[608],"as":[609],"part":[610],"see":[615],"if":[616],"affects":[618],"outcome":[620],"gross":[633],"estimates":[634],"averaging":[638],"way":[642],"mask":[645],"inefficiencies.":[646],"Since":[647],"discussed":[651],"some":[653],"detail":[654],"Carabini,":[658],"there":[659],"no":[661,669],"review":[664],"them":[665],"further":[666],"here.":[667],"Probably":[668],"area":[670],"finance":[672],"received":[674],"attention":[676],"reader":[682],"may":[683],"well":[684],"wonder":[685],"why,":[686],"given":[688],"approximaReceived":[690],"publication":[692,699],"August":[693],"23,":[694],"1982.":[695],"Revision":[696],"accepted":[697],"May":[700],"20,":[701],"1983.":[702],"*":[703],"University,":[706,709],"Baruch":[711],"College,":[712],"respectively.":[713],"authors":[715],"like":[717],"thank":[719],"Center":[721],"Study":[724],"Markets":[727],"Columbia":[729],"Business":[730],"School":[731],"financial":[733],"support.":[734]},"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}