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An empirical analysis of the informational efficiency of Australian equity markets

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Author Info

  • Abdulnasser Hatemi-J
  • Bryan Morgan

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.

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Bibliographic Info

Article provided by Emerald Group Publishing in its journal Journal of Economic Studies.

Volume (Year): 36 (2009)
Issue (Month): 5 (October)
Pages: 437-445

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Handle: RePEc:eme:jespps:v:36:y:2009:i:5:p:437-445

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Related research

Keywords: Australia; Data collection; Equity capital; Money markets;

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