EFFICIENCY TESTS OF JULY KANSAS-CITY WHEAT FUTURES

Three procedures are used to test Fama semistrong form efficiency of h arvesttime price of Kansas City July wheat futures from 1947 through 1 995. The three methods are (a) testing for jointly significant paramet er estimates on nonfutures explanatory variables in econometric foreca sting models, (b) testing the relative accuracy between model-based fo recasts and using deferred futures prices as forecasts, and (c) testin g for abnormal profits associated with simulated futures trading signa led by the forecasts. Kansas City July wheat futures are generally eff icient. Furthermore, relative to the efficiency associated with foreca sts constructed one to two months before harvest, the efficiency assoc iated with the five- to six-month period before harvest has increased, especially since the early 1980s.