IDEAS home Printed from https://ideas.repec.org/a/wsi/rpbfmp/v10y2007i02ns0219091507001033.html
   My bibliography  Save this article

Calendar Spread Trading and the Efficiency of Australian Bank Accepted Bill Futures Market

Author

Listed:
  • John A. Anderson

    (Institute of Finance and Banking, The British University in Dubai, Honorary Fellow, City University, London, PO Box 502216, Dubai, United Arab Emirates)

  • Steven Li

    (IGSB and School of Commerce, Division of Business, University of South Australia, GPO Box 2471, Adelaide 5001, Australia)

Abstract

This paper is concerned with the potential profit opportunities in trading calendar spreads of 90-day Bank Accepted Bill (BAB) futures contracts on the Sydney Futures Exchange (SFE) during the 1990s. It is shown that statistically significant gross profits can be generated by a naïve strategy for most of the considered holding periods ranging from 3 months to 18 months. However, after the deduction of generous transaction costs, the net profits are statistically significant only for the 6-month holding period returns. The implications of the profits produced by calendar spread trading methodology on the efficiency of the BAB futures market are also addressed. The empirical results reveal that the efficiency market hypothesis for the BAB futures market cannot be universally accepted in the 1990s.

Suggested Citation

  • John A. Anderson & Steven Li, 2007. "Calendar Spread Trading and the Efficiency of Australian Bank Accepted Bill Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 157-172.
  • Handle: RePEc:wsi:rpbfmp:v:10:y:2007:i:02:n:s0219091507001033
    DOI: 10.1142/S0219091507001033
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219091507001033
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S0219091507001033?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Calendar spread trading; market efficiency; Bank Accepted Bill futures;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:10:y:2007:i:02:n:s0219091507001033. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.