Tests of Unbiased Forecasts in Stock Index Futures Markets

Abstract

In this study the martingale hypothesis concerning the stock index futures market is analyzed. The purpose is to understand how this notion concerning the behavior of the index futures affects the forecasting process. In addition, the forecasting of both daily and weekly stock index futures is examined. For daily forecasting, we find that the martingale method outperforms stepwise autoregressive and exponential smoothing methods However, for weekly forecasts, the stepwise autoregressive method is best.

Citation

Fung, H., Jarrett, J.E. and Leung, W.K. (1990), "Tests of Unbiased Forecasts in Stock Index Futures Markets", Managerial Finance, Vol. 16 No. 3, pp. 19-23. https://doi.org/10.1108/eb013645