摘要:

The major aim of this paper is to determine the appropriate estimation technique for testing the market efficiency hypothesis. The weak and semi‐strong forms of the market efficiency hypothesis have been tested for five actively traded futures currency markets for the period 1974‐86. The test has been carried out under the assumption of a constant risk prem

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb02300.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

In this paper, the responses of 90‐day Bank Accepted Bill futures prices to the unexpected components in the announcements of money supply, inflation rate and balance of payments are examined Expectations of these variables are generated using VAR and ARIMA models. The unexpected components were extracted by deducting the expected changes from the announced changes. The results show that the efficient market hypothesis cannot be rejectedSummaryIn this paper, the responses of interest rate futures prices to the unexpected components in the announcement of money supply, inflation rate and balance of payments respectively are examined. Expectations on these economic variables are generated using BVAR, UVAR or ARIMA time‐series econometric models. Empirical results are obtained by regressing the changes in futures price on the unexpected and the expected changes in the economic variables concerned with a constant term using ordinary least squares method.There are a few points worth mentioning here. First, futures prices did not respond to the expected changes in all the three economic variables announced. This complies to the EMH since all known information has already been incorporated into the price prior to the announcements. Any change in the price immediately after the announcement is due to the new information contained in the unexpected component of the announcement. Second, futures prices did not respond to the unexpected changes in all the three economic variables either. This seems to reject the hypothesis that interest rate futures market is efficient. However, after careful analysis, it is deemed that the EMH cannot be rejected based on the empirical results obtained from the price data which are at least a few hours after the announcements. It is also possible that the new information contained in the announcements is not an important determinant of the futures prices in Australia. The market may simply ignore this information unless it is of significant importance to the future course of the economy. Therefore, the EMH in this case cannot be rejec

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb02301.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

ISSN:0013-0249    

DOI:10.1111/j.1475-4932.1992.tb02289.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY