IDEAS home Printed from https://ideas.repec.org/a/ags/ajaeau/22716.html
   My bibliography  Save this article

In Search Of Hunt'S Short-Run Price Cycles In The Sydney Wool Futures Market

Author

Listed:
  • Fisher, Brian S.
  • Tanner, Carolyn

Abstract

The structure of prices of Sydney wool futures contracts is examined with the aid of spectral analysis. Although the series studied are not strictly random walks, it is shown that there is little useful information for forecasting contained in the historical price data. It is concluded that the behaviour of prices on the Sydney wool futures market is essentially the same as that observed for the majority of stock and futures price series from other markets.

Suggested Citation

  • Fisher, Brian S. & Tanner, Carolyn, 1978. "In Search Of Hunt'S Short-Run Price Cycles In The Sydney Wool Futures Market," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 22(2-3), pages 1-6, August.
    • Handle: RePEc:ags:ajaeau:22716
    DOI: 10.22004/ag.econ.22716
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/22716/files/22020129.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.22716?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-253, May.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    3. Hunt, B.F., 1974. "Short Run Price Cycles In The Sydney Wool Futures Market," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 18(2), pages 1-11, August.
    4. repec:bla:econom:v:43:y:1976:i:17:p:169-72 is not listed on IDEAS
    5. B.F. Hunt, 1974. "Short Run Price Cycles In The Sydney Wool Futures Market," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 18(2), pages 133-143, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. David E. A. Giles & Barry A. Goss, 1981. "Futures Prices As Forecasts Of Commodity Spot Prices: Live Cattle And Wool," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 25(1), pages 1-13, April.
    2. Hinchy, Mike & Simmons, Phil, 1983. "An Optimal-Control Approach To Stabilising Australian Wool Prices," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 27(1), pages 1-29, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 20(1), pages 119-130, July.
    2. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, October.
    3. Jack Hirshleifer & John G. Riley, 1976. "The New Economics of Information," UCLA Economics Working Papers 074, UCLA Department of Economics.
    4. Sant, Rajiv & Zaman, Mir A., 1996. "Market reaction to Business Week 'Inside Wall Street' column: A self-fulfilling prophecy," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 617-643, May.
    5. Joseph E. Stiglitz, 2017. "The Revolution of Information Economics: The Past and the Future," NBER Working Papers 23780, National Bureau of Economic Research, Inc.
    6. Li, Jinfang, 2022. "The sentiment pricing dynamics with short-term and long-term learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    7. Coble, Keith H. & Barnett, Barry J., 1999. "The Role Of Research In Producer Risk Management," Professional Papers 15803, Mississippi State University, Department of Agricultural Economics.
    8. Frieden, B. Roy & Hawkins, Raymond J., 2010. "Asymmetric information and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 287-295.
    9. Cross, Rod & Kozyakin, Victor, 2012. "Fact And Fiction In FX Arbitrage Processes," SIRE Discussion Papers 2012-86, Scottish Institute for Research in Economics (SIRE).
    10. Griffith, Garry R., 1975. "A Cross-Spectral Approach To Measuring Pricing Efficiency In The New South Wales Pigmeat Market," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 43(04), pages 1-21, December.
    11. Josef Falkinger, 2014. "In search of economic reality under the veil of financial markets," ECON - Working Papers 154, Department of Economics - University of Zurich.
    12. Grigori Erenburg & Janet Kiholm Smith & Richard L. Smith, 2011. "The Paradox of “Fraud‐on‐the‐Market Theory”: Who Relies on the Efficiency of Market Prices?," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 8(2), pages 260-303, June.
    13. Suvanto, Antti, 1992. "Pricing decisions and the position constraint in foreign exchange dealing," Research Discussion Papers 27/1992, Bank of Finland.
    14. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
    15. Shahid Ebrahim, M. & Hussain, Sikandar, 2010. "Financial development and asset valuation: The special case of real estate," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 150-162, January.
    16. Partha Sarathi Roy & Tanupa Chakraborty, 2023. "Efficiency of Indian Equity Futures Market—An Empirical Analysis with reference to National Stock Exchange," Global Business Review, International Management Institute, vol. 24(6), pages 1326-1352, December.
    17. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
    18. Merton, Robert C., 1993. "On the microeconomic theory of investment under uncertainty," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 13, pages 601-669, Elsevier.
    19. Chezum, Brian & Stowe, C. Jill, 2010. "Some Evidence of Information Aggregation in Auction Prices," 2011 Annual Meeting, February 5-8, 2011, Corpus Christi, Texas 98528, Southern Agricultural Economics Association.
    20. Suvanto, Antti, . "Foreign Exchange Dealing. Essays on the Microstructure of the Foreign Exchange Market," ETLA A, The Research Institute of the Finnish Economy, number 19, June.

    More about this item

    Keywords

    Marketing;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:ajaeau:22716. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aaresea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.