Testing the Efficient Markets Theory on the Sydney Wool Futures Exchange

P. D. Praetz

Chapter 12 in The Economics of Futures Trading, 1976, pp 205-216 from Palgrave Macmillan

Abstract: Abstract The efficient markets theory is most commonly associated with Sharpe [16], Lintner [13, 14], Fama [5] and Fama and Miller [6]. In simple terms it states that a market in which prices fully reflect all available information is regarded as efficient. To make this proposition testable, it is necessary to specify a model of price formation in terms of expected returns, which depend on the risk vis-a-vis other securities and are conditional on an information set (S). This can be formalized by E ( p t + 1 | S ) = [ 1 + E ( r t + 1 | S ) ] p t ]]

Keywords: Price Change; Future Market; Future Price; Trading Rule; Filter Test (search for similar items in EconPapers)
Date: 1976
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DOI: 10.1007/978-1-349-02693-7_13

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