Market efficiency in the trade steers and greasy wool future markets

Kingston, Owen L. (1985) Market efficiency in the trade steers and greasy wool future markets The University of Queensland:

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Author Kingston, Owen L.
Title of report Market efficiency in the trade steers and greasy wool future markets
Formatted title


Publication date 1985
Place of publication The University of Queensland
Total pages 129
Language eng
Subjects 1503 Business and Management
Formatted abstract
The primary objective of this study is to investigate weak form and semi-strong form market efficiency in the Sydney trade steers and greasy wool futures markets. As a prelude to this, an outline of the history and operation of futures markets is provided, along with a summary of the theory of futures trading. The theory of market efficiency is then examined, and this theory is developed within the' context of futures markets by surveying the empirical studies of market efficiency that have been conducted in futures markets.

Weak form market efficiency is investigated through the application of serial correlations and runs tests. The results support independence of price changes and it is concluded that the trade steers and greasy wool futures markets exhibit weak form efficiency.

A semi-strong form test of market efficiency is then undertaken by examining the speed of adjustment of futures prices to the public release of relevant commodity price forecasts. To the author's knowledge, this is the first time a semi-strong form study of this nature has been conducted in either an Australian or an overseas futures market.

While definite conclusions cannot be drawn by the examination of daily price changes around the release date of the forecasts, an examination of monthly price changes provides evidence that the information contained in the forecasts is incorporated into market prices during the two months prior to release. The conclusion is reached that the trade steers and greasy wool futures markets exhibit semi-strong form market efficiency for the information event under investigation.

Document type: Research Report
Collection: MBA reports
 
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Created: Mon, 10 Jan 2011, 08:53:05 EST by Ning Jing on behalf of The University of Queensland Library