This paper demonstrates how the presence of a lower interest rate expectations detected in short-term interest rate futures during the 1990’s allowed arbitrage profits when trading intracommodity spread differentials on the Sydney Futures Exchange’s 90 Day Bank Accepted Bill futures contract. Fama’s (1970) hypothesis on market efficiency cannot be accepted for the test period as statistically significant gross profits were generated by a naïve strategy. The EMH had greater predictive power once transactions costs were deducted. Furthermore, the EMH remained unable to be accepted after the allowance of generous transaction costs
This paper examines the relationship which exists between the spot and forward Australian/US Dollar ...
This paper examines the relationship which exists between the spot and forward Australian/US Dollar ...
Until the existence of financial futures, testing the determinants and the informational content of ...
This paper demonstrates how the presence of a lower interest rate expectations detected in short-ter...
This paper is concerned with the potential profit opportunities in trading calendar spreads of 90-da...
The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examine...
The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examine...
In the short span of the last five years, a large number of interest rate futures contracts have bee...
The first file is the version submitted for completion of MBus and the second is the version submitt...
The first file is the version submitted for completion of MBus and the second is the version submitt...
This paper examines covered interest parity and speculative efficiency using cointegration technique...
This paper examines covered interest parity and speculative efficiency using cointegration technique...
An efficient market has been described by where irt+1 is the profit in the next period, and At Fama ...
In markets which are efficient in the weak form, investors are not able to use the information conta...
In markets which are efficient in the weak form, investors are not able to use the information conta...
This paper examines the relationship which exists between the spot and forward Australian/US Dollar ...
This paper examines the relationship which exists between the spot and forward Australian/US Dollar ...
Until the existence of financial futures, testing the determinants and the informational content of ...
This paper demonstrates how the presence of a lower interest rate expectations detected in short-ter...
This paper is concerned with the potential profit opportunities in trading calendar spreads of 90-da...
The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examine...
The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examine...
In the short span of the last five years, a large number of interest rate futures contracts have bee...
The first file is the version submitted for completion of MBus and the second is the version submitt...
The first file is the version submitted for completion of MBus and the second is the version submitt...
This paper examines covered interest parity and speculative efficiency using cointegration technique...
This paper examines covered interest parity and speculative efficiency using cointegration technique...
An efficient market has been described by where irt+1 is the profit in the next period, and At Fama ...
In markets which are efficient in the weak form, investors are not able to use the information conta...
In markets which are efficient in the weak form, investors are not able to use the information conta...
This paper examines the relationship which exists between the spot and forward Australian/US Dollar ...
This paper examines the relationship which exists between the spot and forward Australian/US Dollar ...
Until the existence of financial futures, testing the determinants and the informational content of ...