The Efficiency of the Market for Bank Accepted Bills
The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examined by considering if the futures price is an unbiased predictor of the subsequent spot price and if other publicly available information can improve on this predictor. Data spanning the period 1980(1) to 1986(5) are employed. The results are adverse to the efficiency hypothesis in that the futures price in some cases is not an unbiased predictor and neither is it an optimal predictor. Copyright 1989 by The Economic Society of Australia.
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Volume (Year): 65 (1989)
Issue (Month): 190 (September)
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