Futures Markets and Informational Efficiency: A Laboratory Examination
通过实验室市场方法，研究期货市场对资产价格时间路径的影响，发现期货市场加速了有效均衡的实现，但可能增加现货价格波动。
ABSTRACT 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 a 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.