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A Test of Weak-Form Market Efficiency in Australian Bank Bill Futures Calendar Spreads

Anderson, John A. (2003) A Test of Weak-Form Market Efficiency in Australian Bank Bill Futures Calendar Spreads. [Working Paper]

Abstract

This paper demonstrates how the presence of a lower interest rate expectations detected in short-term interest rate futures during the 1990’s allowed arbitrage profits when trading intracommodity spread differentials on the Sydney Futures Exchange’s 90 Day Bank Accepted Bill futures contract. Fama’s (1970) hypothesis on market efficiency cannot be accepted for the test period as statistically significant gross profits were generated by a naïve strategy. The EMH had greater predictive power once transactions costs were deducted. Furthermore, the EMH remained unable to be accepted after the allowance of generous transaction costs.

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986 since deposited on 25 Aug 2004
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ID Code: 387
Item Type: Working Paper
Additional URLs:
Keywords: interest rate expectations, futures
ISSN: 1324-5910
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2003 (please consult author)
Deposited On: 25 Aug 2004
Last Modified: 05 Jan 2011 23:23

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