Is the Australian wool futures market efficient as a predictor of spot prices?

Graham-Higgs, J, Rambaldi, A and Davidson, B (1999) Is the Australian wool futures market efficient as a predictor of spot prices?. Journal of Futures Markets, 19 5: 565-582. doi:10.1002/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R


Author Graham-Higgs, J
Rambaldi, A
Davidson, B
Title Is the Australian wool futures market efficient as a predictor of spot prices?
Journal name Journal of Futures Markets   Check publisher's open access policy
ISSN 0270-7314
Publication date 1999-01-01
Sub-type Article (original research)
DOI 10.1002/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R
Volume 19
Issue 5
Start page 565
End page 582
Total pages 18
Language eng
Abstract Giles and Goss (1980) have suggested that, if a futures market provides a forward pricing function, then it is an efficient market. In this article a simple test for whether the Australian Wool Futures market is efficient is proposed. The test is based on applying cointegration techniques to test the Law of One Price over a three, six, nine, and twelve month spread of futures prices. We found that the futures market is efficient for up to a six-month spread, but no further into the future. Because futures market prices can be used to predict spot prices up to six months in advance, woolgrowers can use the futures price to assess when they market their clip, but not for longer-term production planning decisions. (C) 1999 John Wiley & Sons, Inc.
Keyword Business, Finance
Commodity
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Economics Publications
 
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Created: Mon, 13 Aug 2007, 21:13:01 EST