Wool Prices and Publicly Available Information

Barry A Goss

Australian Economic Papers, 1987, vol. 26, issue 49, 225-36

Abstract: This paper examines the semistrong form efficiency of the Australian wool futures market, using the forecast errors approach, and find s that there may be a slight inefficiency in this market. The informa tion set is assumed to comprise forecast errors of Sydney wool, Londo n wool, gold, and Australian dollar exchange rates for the U.S. dolla r, pound sterling, and Japanese yen. Estimation is by OLS with daily data, and there is no evidence of serial correlation. The implication s of the results are discussed from the viewpoint of the functions of a futures market and the Australian Wool Corporation. Copyright 1987 by Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia

Date: 1987
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