Which material sounds better for speakers construction? Wood, Ply or MDF?

There is no absolute.  
MDF is more dense than plywood or wood.  Wood on its own depending on type has all kinds of problems with expansion and contraction.  Plywood works, but still is a softer less dense material... However, if you are after an effect,  plywood can be more giving than MDF.. Also, the is no problem with gluing MDF & Plywood together, this works.  Way back when,  we built a cabinet out of concrete & ground up Styrofoam, worked great.  Also a few decades ago, I believe Definitive made some concrete enclosures.  

I built a pair of back-load horn single driver speakers last summer using the Madisound BK-16 kit design but modified it a bit and doubled up on the baltic birch side and top/bottom panels in the enclosure. The back panel and the front baffle were already double sheets. They came out great and sound real good with decent bottom end but took weeks to break in. I would have put some damping sheets between the panels but I learned about them after it was all done. May be next time. I may be old school or an amateur but I never warmed up to MDF except for shelving in my closet.

Building a PROPER cabinet for speakers is more complex and costly than dipoles, and dipoles tend to throw a more realistic sound stage. I know this from owning Genesis V loudspeakers (to its credit, it did have a rear firing tweeter) Usher 6371s, First Gen  Reference 3A DeCapos, a short stint with Nearfield Acoustics entry level Pipedream 6 ft prototype, then moved on to Accoustat 2 + 2s, Magnepan 3.5Rs (and even though they had their own magic, both physically dominated my room. for the last couple years, I have been enjoying Emerald Physics KCIIs, which are as light and fast as the 2 previous dipoles, but the KCIIs bring better bass and more focused imaging, AND, they're super efficient. The amount of wood and the simplicity of assembly is something a DIYer should consider. 

A combination of materials are good - on most of our speakers we use a solid hardwood front up to 2” thick depending on model - with a heavily braced rear enclosure typically made from 1” thick MDF 

As with anything implementation is equally important

Good Listening

Peter