The Efficiency of the Market for Bank Accepted Bills

Colm Kearney, Ronald MacDonald and John Hillier

The Economic Record, 1989, vol. 65, issue 3, 225-233

Abstract: The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examined by considering if the futures price is an unbiased predictor of the subsequent spot price and if other publicly available information can improve on this predictor. Data spanning the period 1980(1) to 1986(5) are employed The results are adverse to the efficiency hypothesis in that the futures price in some cases is not an unbiased predictor and neither is it an optimal predictor.

Date: 1989
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https://doi.org/10.1111/j.1475-4932.1989.tb00931.x

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