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On the efficiency of the UK rubber market

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Abstract

This paper seeks to establish whether the efficient markets theory can be applied to the London Rubber Market by analysing the price changes observed in that market for daily cash and future price series during the periods January 1975 to June 1983, and January 1980 to May 1983 respectively. The analysis features an examination of the return distributions and parametric, non-parametric, and economic tests based on auto-correlation coefficients, runs, and filter tests. The results support the hypothesis of weak-form efficiency.

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Authors and Affiliations

  1. Department of Accounting & Finance, University of Western Australia, Australia

    D. E. Allen

  2. Department of Business Studies, University of Edinburgh, UK

    Latif Mohd Som

Authors
  1. D. E. Allen
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  2. Latif Mohd Som
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Allen, D.E., Som, L.M. On the efficiency of the UK rubber market. Empirical Economics 12, 79–95 (1987). https://doi.org/10.1007/BF01972331

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  • DOI: https://doi.org/10.1007/BF01972331

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