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

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  • 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
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    File URL: https://ageconsearch.umn.edu/record/22716/files/22020129.pdf
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    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. Allingham, Michael G, 1976. "Futures Price Oscillations," Economica, London School of Economics and Political Science, vol. 43(17), pages 169-172, May.
    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.
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    Cited by:

    1. 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.
    2. Giles, David E. A. & Goss, Barry A., 1981. "Futures Prices As Forecasts Of Commodity Spot Prices: Live Cattle And Wool," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 25(1), pages 1-13, April.

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