@article{oai:niigata-u.repo.nii.ac.jp:00027269, author = {Ito, Takayasu}, journal = {新潟大学経済論集, 新潟大学経済論集}, month = {Sep}, note = {This paper examines the market efficiency of gold future market in Japan. According to Fama (1970), there are three forms of market efficiency tests. They are weak form, semi-strong form and strong form. This paper investigates weak form of market efficiency. Cointegration test is conducted to avoid a problem of spurious regression caused by a non-stationarity of future prices and spot prices. Gold future prices and spot prices are in the long run equilibrium, but they are not in a relationship of one to one. From the results of empirical analysis, the conclusion can be made that gold future market is not efficient in Japan.}, pages = {197--202}, title = {The Efficiency Test of Gold Future Market in Japan}, volume = {85}, year = {2008} }