Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market

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Abstract
In this paper we use intra-day prices to examine the efficiency of the Treasury bill futures market. The use of intra-day data allows us to carefully match in time trades in the futures and cash markets. By matching trades and allowing delays between observing apparent inefficiencies and the trade, we are examining realistic trading strategies. We find profitable arbitrage, swaps and a preferred strategy for initial purchase. These profits do not depend on an assumption of an equilibrium model. Hence these tests are direct tests of efficiency rather than a joint test of efficiency and equilibrium.

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