Efficiency in the Australian stock market, 1875-2006: A note on extreme long-run random walk behaviour

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Title Efficiency in the Australian stock market, 1875-2006: A note on extreme long-run random walk behaviour
Author Worthington, Andrew Charles; Higgs, Helen
Journal Name Applied Economics Letters
Year Published 2009
Place of publication United Kingdom
Publisher Routledge
Abstract This 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.
Peer Reviewed Yes
Published Yes
Alternative URI http://dx.doi.org/10.1080/13504850601018379
Copyright Statement 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.
Volume 16
Issue Number 3
Page from 301
Page to 306
ISSN 1350-4851
Date Accessioned 2010-03-01
Date Available 2010-09-01T08:08:13Z
Language en_AU
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Subject Finance
URI http://hdl.handle.net/10072/30631
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1

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