'Marking to Market' and Treasury-Bill Futures Prices: Some Empirical Evidence
Posted: 9 Apr 2000
Abstract
Financial economists have not found empirical evidence of a "marking-to-market" effect in Treasury-bill futures contracts, despite a firm theoretical basis for its existence. Therefore, we speculate that confounding effects, possibly due to liquidity preferences, influence futures-forward price spreads. By using an empirical specification that allows for both effects, we present empirical evidence that Treasury-bill futures-forward price spreads are sensitive to the volatility of the underlying commodity in ways predicted by the theory of the marking-to-market effect.
JEL Classification: G13
Suggested Citation: Suggested Citation
Choi, Suengmook and Jameson, Mel, 'Marking to Market' and Treasury-Bill Futures Prices: Some Empirical Evidence. Available at SSRN: https://ssrn.com/abstract=204749
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