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Testing the Efficient Markets Theory on the Sydney Wool Futures Exchange

In: The Economics of Futures Trading

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  • P. D. Praetz

Abstract

The efficient markets theory is most commonly associated with Sharpe [16], Lintner [13, 14], Fama [5] and Fama and Miller [6]. In simple terms it states that a market in which prices fully reflect all available information is regarded as efficient. To make this proposition testable, it is necessary to specify a model of price formation in terms of expected returns, which depend on the risk vis-a-vis other securities and are conditional on an information set (S). This can be formalized by E ( p t + 1 | S ) = [ 1 + E ( r t + 1 | S ) ] p t ]]

Suggested Citation

  • P. D. Praetz, 1976. "Testing the Efficient Markets Theory on the Sydney Wool Futures Exchange," Palgrave Macmillan Books, in: The Economics of Futures Trading, chapter 12, pages 205-216, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-02693-7_13
    DOI: 10.1007/978-1-349-02693-7_13
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