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

Journal of Futures Markets

Volumn 19, Issue 5, 1999, Pages 565-582

  Graham Higgs, Jeremy ^a   Rambaldi, Alicia ^a   Davidson, Brian ^b  

^a UNIVERSITY OF NEW ENGLAND   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033461332     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199908)19:5<565::AID-FUT4>3.0.CO;2-R     Document Type: Article

References (13)

1. Australian Wool Corporation (1993 and earlier issues). Annual price summary. Wool Marketing News, Parkville: Australian Wool Corporation.
2. Bailie, R. T., & Myers, R. J. (1991). Bivariate GARCH estimation of the optimal commodity futures hedge. Journal of Applied Econometrics, 6, 109-124.
3. Cunnigham, C. (1995). Wool futures and type premium or discount risk. Paper presented at the Perth meeting of the Australian Agricultural Economics Society, 14-16 February, Perth, Australia.
4. Enders, W. (1995). Applied econometric time-series. New York: John Wiley & Sons.
5. Giles, D. E. A., & Goss, B. A. (1980). The predictive quality of futures prices, with an Application to the Sydney Wool Futures Market. Australian Economic Papers, 19, 291-300.
6. Giles, D. E. A., & Goss, B. A. (1981). Futures prices as forecasts of commodity spot prices: Live cattle and wool. Australian Journal of Agricultural Economics, 25, 1-13.
7. Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships. Journal of Econometrics, 60, 203-233.
8. Granger, C. W. J. (1988). Some recent developments in the concept of causality. Journal of Econometrics, 39, 199-211.
9. Lubulwa, M., Beare, S., Bui-Lan, A., & Foster, M. (1997). Wool futures: Price risk management for Australian wool growers. ABARE Research Report 97.1, Canberra: AGPS.
10. Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361-1401.
11. Sydney Futures Exchange (1997). Available, 26 May 1997, Internet, URL: http://www.sfe.com.au/statistics/daily_data/specs.html.
12. Tomek, W. G., & Gray, R. W. (1970). Temporal relationships among prices on commodity futures markets: Their allocative and stabilizing roles. American Journal of Agricultural Economics, 52, 372-380.
13. Wool International (1997 and earlier issues). Annual price summary. Wool Marketing News, Parkville: Wool International.