An empirical analysis of the informational efficiency of Australian equity markets

Abdulnasser Hatemi-J, Bryan Morgan

    Research output: Contribution to journalArticlepeer-review

    2 Citations (Scopus)

    Abstract

    Purpose - The purpose of this paper is to investigate whether the Australian equity market is informationally efficient in the semi-strong form with regard to interest rates and the exchange rate shocks during the period 1994-2006. Design/methodology/approach - There is evidence that the data are non-normal and that autoregressive conditional heteroskedasticity (ARCH) effects exist and in such circumstances, standard estimation methods are not reliable. A new method introduced by Hacker and Hatemi-J which is robust to non-normality and the presence of ARCH is applied. Findings - The results show the Australian equity market is not informationally efficient with regard to either the interest rate or the exchange rate. Originality/value - The empirical findings, in contrast to several previous studies, imply that the possibility for arbitrage profits in the equity market might exist.

    Original languageEnglish
    Pages (from-to)437-445
    Number of pages9
    JournalJournal of Economic Studies
    Volume36
    Issue number5
    DOIs
    Publication statusPublished - Sep 1 2009

    Keywords

    • Australia
    • Data collection
    • Equity capital
    • Money markets

    ASJC Scopus subject areas

    • Economics, Econometrics and Finance(all)

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