Screen based trading, the cost of carry, and futures market efficiency

Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets

“…See e.g. Khoury et al (1991), Switzer and El-Khoury (2007), Switzer and Fan (2009), Huisman and Kilic (2012), Symeonidis et al (2012), Asche et al (2016), Stevens (2013), Wu and Zheng (2019) to name a few. (Fama and French (1987)), the estimated intercept terms α1 and α2 sum to zero, and the sum of the estimated slope terms 1 + 2 is equal to 1.…”

“…Response: Thank you very much for this excellent suggestion. To address this question, we have added an additional test of speculative efficiency to complement the Fama (1984), and Fama and French (1987) regression approach for speculative efficiency (which has also been used by Khoury et al (1991), Switzer and El-Khoury (2007), Switzer and Fan (2009), Huisman and Kilic (2012), Symeonidis et al (2012), Asche et al (2016), Stevens (2013), Wu and Zheng (2019) and several other studies). Specifically, in this version we perform new Cointegration Tests that for directly test whether futures prices as unbiased predictors of spot prices.…”

“…See e.g. Khoury et al (1991), Switzer and El-Khoury (2007), Switzer and Fan (2009)), Huisman and Kilic (2012), Symeonidis et al (2012), Asche et al (2016), Stevens (2013), Wu and Zheng (2019) to name a few." In addition, as discussed in our response to a similar question of referee 1 (Comment 1), in this version we perform new Cointegration Tests that for directly test whether futures prices as unbiased predictors of spot prices.…”