An empirical analysis of the informational efficiency of Australian equity markets

Autor:	Bryan Morgan, Abdulnasser Hatemi-J
Rok vydání:	2009
Předmět:	Money market Equity risk Exchange rate Financial economics media_common.quotation_subject Autoregressive conditional heteroskedasticity Economics Equity (finance) Arbitrage General Economics Econometrics and Finance Equity capital markets Interest rate media_common
Zdroj:	Journal of Economic Studies. 36:437-445
ISSN:	0144-3585
DOI:	10.1108/01443580910992366
Popis:	PurposeThe 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/approachThere 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.FindingsThe results show the Australian equity market is not informationally efficient with regard to either the interest rate or the exchange rate.Originality/valueThe empirical findings, in contrast to several previous studies, imply that the possibility for arbitrage profits in the equity market might exist.
Databáze:	OpenAIRE
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