IN SEARCH OF HUNT'S SHORT-RUN PRICE CYCLES IN THE SYDNEY WOOL FUTURES MARKET

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.


Subject(s):
Issue Date:
1978-08
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/22716
Published in:
Australian Journal of Agricultural Economics, Volume 22, Number 2-3
Page range:
129-134
Total Pages:
6




 Record created 2017-04-01, last modified 2017-08-24

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