inancial markets are termed as efficient if security prices fully and instanta-F neously reflect all available information. Fama (1970) has characterized markets as weak-form, semi-strong and strong form efficient relative to the different types of information available for efficiency assessment. While the different concepts of market efficiency have been studied at length using a variety of techniques and data for the equity markets (Wood, McInish, and Ord, 1985) and derivative security markets, such as options (Ball and Torous, 1985) and convertibles (Alexander and Stover, 1977), most tests of market efficiency in the futures markets have been of the weak-form type (Helms and Martell, 1985).' It is only recently that researchers have started studying the semi-strong efficiency characteristics of the futures markets. The concept of semi-strong efficiency states that security prices adjust rapidly to all publicly available information. This information set includes information ranging in diversity from investment advisory data to regulatory changes to unexpected world events.
Recent research on semi-strong efficiency in the futures market includes testing the efficacy of forecasting systems which incorporate currently available information (Leuthold and Hartmann, 1979, 1980), the reaction of grain futures prices to *The author would like to thank the editor of Journal of Futures Markets, Dr. Mark Powers for help and encouragement, two anonymous reviewers for invaluable comment8 which greatly improved the quality of the article and John Lilley of Money Market Services, Inc. for providing the survey data used in the study. An earlier version of the article was presented at the 1986 Mid-West Finance Association Meeting. All e m m , however, are the sole responsibility of the author. 'Chance (1984, 1985) for an excellent summary on empirical studies of futures market efficiency.