Efficiency tests in the French derivatives market

The French derivatives market, the Marche a Terme International de France ( MATIF) or the French International Futures and Options Exchange is one of t he major derivatives markets in the world. The efficiency of four financial contracts traded on the MATIF-CAC40 Index Futures, ECU Bond Futures, Natio nal Bond Futures, and PIBOR 3-Month Futures are examined in this paper. Tes t results from serial correlations, unit root tests, and variance ratio tes ts provide overwhelming evidence that the random walk hypothesis cannot be rejected for these contracts. (C) 2000 Elsevier Science B.V. All rights res erved. JEL classification: G15; C22; G13.