English, Article edition: Testing the Efficient Markets Hypothesis with Futures Markets Data: Forecast Errors, Model Predictions and Live Cattle. King, Jason

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Testing the Efficient Markets Hypothesis with Futures Markets Data: Forecast Errors, Model Predictions and Live Cattle.
Author
  • King, Jason
Physical Description
  • article
Notes
  • At the forefront of empirical research into the examination of the efficiency of futures commodity markets, two fundamentally different testing techniques have been popularised--the "forecast error" and "model prediction" approaches. This paper assesses the relative strengths of these techniques by contrasting results obtained when both approaches are used to examine the efficiency of the Sydney live cattle futures market. While neither model provides evidence to suggest that this market is inefficient, it is clearly shown that the model prediction approach enjoys a number of distinct advantages over its rival. Indeed, the model prediction approach provides additional information that is important not only for those interested in testing the efficiency of futures markets, but is important for anyone interested in developing a greater understanding of the determination of prices and the behaviour of agents in futures markets. Copyright 2001 by Blackwell Publishers Ltd/​University of Adelaide and Flinders University of South Australia
  • RePEc:bla:ausecp:v:40:y:2001:i:4:p:581-85
Language
  • English
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