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Applied Economics Letters Volume 2, 1995 - Issue 10
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Original Articles

Autocorrelations, returns and Australian financial futures

Robert D. Brooks Department of Economics and Finance, Royal Melbourne Institute of Technology, GPO Box 2476V, Melbourne Victoria, 3001, Australia
&
Paul S. Michaelides Department of Economics and Finance, Royal Melbourne Institute of Technology, GPO Box 2476V, Melbourne Victoria, 3001, Australia
Pages 323-326 | Received 22 May 1995, Published online: 02 Nov 2006
 
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Abstract

This paper explores whether predictable autocorrelation structures exist in returns data on Australian financial futures. We explore the data using power transformations and find that for the bank accepted bills market there are potential gains from this strategy.

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