Futures Markets and Informational Efficiency: A Laboratory Examination
Futures Markets and Informational Efficiency: A Laboratory Examination
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期货市场和信息效率：实验室检查
DOI：
10.1111/j.1540-6261.1984.tb03887.x
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发表时间：
1984
期刊：
影响因子：
--
通讯作者：
C. Plott
中科院分区：
文献类型：
--
作者：
Robert Forsythe;T. Palfrey;C. Plott
通过实验室市场方法，研究了期货市场对资产价格时间路径的影响，分析了资产定价的竞争模型。在复制市场条件的情况下，无论期货市场是否存在，理性预期均衡模型的预测都相对准确。然而，期货市场的存在加快了实现有效均衡的速度。虽然这种更快的调整可能会增加现货市场价格的差异，因为它们移动到均衡，这种增加的差异反映了效率的提高，由于更好的信息。
Through the use of laboratory market methodology, the effect of a futures market on the time path of asset prices is studied and competing models of asset pricing are analyzed. With replication of market conditions, the predictions of rational expectations equilibrium model are relatively accurate whether or not futures markets are present. However, the presence of futures markets increases the speed with which an efficient equilibrium is achieved. While this more rapid adjustment can increase the variance of spot market prices as they move to equilibrium, this increased variance reflects efficiency gains due to better information.