Disequilibrium in Asia-pacific Futures Markets: an Intra-day Investigation

This paper examines the weak form market efficiency using transactions data. Previous studies have mainly used daily data to investigate whether trading rules can result in abnormal profits with mixed results. This study on the other hand uses trade-by-trade data to apply trading rules such as moving average and filter. Two different futures contracts the Australian All Ordinaries Index traded in Sydney Futures Exchange and the Fuel oil treaded in the Singapore International Monetary Exchange are used. The profitability of the trading rules were tested using a bootstrap methodology. It is found that the simple trading rules used in the study do not generate abnormal profits on tick data suggesting that the markets examined are weak form efficient.