Abstract
This article investigates unbiased efficiency and patterns of forward risk premium using FPH tests and some auxiliary quantitative criteria for Pacific-rim stock indices futures in Australia, Hong Kong, Japan, the U.S. and Canada. Unbiased efficiency is found consistently and solely in All Ordinaries Share Price Index's two-month and Hang Seng Index's one-month forward pricing intervals. And fractional cointegration between spot and distant futures prices is detected only in the maturer US markets. Significantly positive and negative risk premium is discovered, respectively, in Standard & Poor 500 index and Toronto 35 index futures, and in Nikkei 225 index futures. While risk premium in nearby futures is almost all stationary, risk premium in five- and ten-month forward pricing intervals exhibits long-memory mean-reverting properties.
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