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Wool Prices and Publicly Available Information

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  • Goss, Barry A

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

Suggested Citation

  • Goss, Barry A, 1987. "Wool Prices and Publicly Available Information," Australian Economic Papers, Wiley Blackwell, vol. 26(49), pages 225-236, December.
    • Handle: RePEc:bla:ausecp:v:26:y:1987:i:49:p:225-36
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    Cited by:

    1. Jackson, Elizabeth & Quaddus, Mohammed & Islam, Nazrul & Hoque, Zohurul & Stanton, John, 2006. "Selling raw wool by forward contract: A qualitative analysis of the pros and cons," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 139793, Australian Agricultural and Resource Economics Society.
    2. Barry A. Goss & Jerome L. Stein, 1992. "Introduction," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 1-9, December.
    3. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2017. "Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939," Papers 1704.00985, arXiv.org, revised Jan 2018.
    4. Bell, Adrian R. & Brooks, Chris & Dryburgh, Paul, 2007. "Interest rates and efficiency in medieval wool forward contracts," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 361-380, February.
    5. Barry A. Goss & S. Gulay Avsar & Siang‐Choo Chan, 1992. "Rational Expectations and Price Determination in the US Oats Market," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 16-26, December.

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