Show simple item record

dc.contributor.authorWorthington, Andrew C
dc.contributor.authorHiggs, Helen
dc.date.accessioned2017-05-03T13:07:14Z
dc.date.available2017-05-03T13:07:14Z
dc.date.issued2009
dc.date.modified2010-09-01T08:08:13Z
dc.identifier.issn1350-4851
dc.identifier.doi10.1080/13504850601018379
dc.identifier.urihttp://hdl.handle.net/10072/30631
dc.description.abstractThis note examines the weak-form market efficiency of the Australian stock market. Daily returns from 6 January 1958 to 12 April 2006 and monthly returns from February 1875 to December 2005 are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin unit root tests and multiple variance ratio tests. The serial correlation tests indicate inefficiency in daily returns and borderline efficiency in monthly returns, while the runs tests conclude that both series are weak-form inefficient. The unit root tests suggest weak-form inefficiency in both return series. The results of the more stringent and least restrictive variance ratio tests indicate that the monthly returns series is characterised by a homoskedastic random walk, but the daily series violates weak-form efficiency because of the short-term autocorrelation in returns.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent168250 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.publisher.placeUnited Kingdom
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom301
dc.relation.ispartofpageto306
dc.relation.ispartofissue3
dc.relation.ispartofjournalApplied Economics Letters
dc.relation.ispartofvolume16
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350202
dc.titleEfficiency in the Australian stock market, 1875-2006: A note on extreme long-run random walk behaviour
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2009 Routledge. This is an electronic version of an article published in Applied Economics Letters Volume 16, Issue 3 February 2009 , pages 301 - 306. Applied Economics Letters is available online at: http://www.informaworld.com with the open URL of your article.
gro.date.issued2009
gro.hasfulltextFull Text
gro.griffith.authorWorthington, Andrew C.
gro.griffith.authorHiggs, Helen


Files in this item

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record