Is the Australian wool futures market efficient as a predictor of spot prices?
✍ Scribed by Graham-Higgs, Jeremy; Rambaldi, Alicia; Davidson, Brian
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 248 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
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