Most empirical evidence suggests that the efficient market hypothesis, stating that spot and futures prices should cointegrate with a unit slope on futures prices, does not hold. These results have recently motivated researchers to start looking for more “informative” tests, and the current paper takes a step in this direction. However, unlike existing tests, the test proposed here exploits the information contained in the heteroskedasticity of the data, which is expected to lead to more accurate inference, a result that is confirmed by our findings. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark