IDEAS home Printed from
   My bibliography  Save this article

Non-periodic Australian Stock Market Cycles: Evidence from Rescaled Range Analysis


  • McKenzie, Michael D


The standard complement of statistical techniques used to identify predictable market structure is only capable of identifying regular periodic cycles and assumes that the data are independent and identically distributed (i.i.d.). Yet financial returns data are not independent and cycles are most probably not periodic. Rescaled range analysis is a nonparametric technique that can distinguish the average cycle length of irregular cycles. Using Australian stock market data, this paper finds evidence of long memory in the returns generating process and non-periodic cycles of approximately 3, 6, and 12 years in average duration. Copyright 2001 by The Economic Society of Australia.

Suggested Citation

  • McKenzie, Michael D, 2001. "Non-periodic Australian Stock Market Cycles: Evidence from Rescaled Range Analysis," The Economic Record, The Economic Society of Australia, vol. 77(239), pages 393-406, December.
  • Handle: RePEc:bla:ecorec:v:77:y:2001:i:239:p:393-406

    Download full text from publisher

    File URL:
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. Rod O'Donnell, 1992. "The Unwritten Books and Papers of J. M. Keynes," History of Political Economy, Duke University Press, vol. 24(4), pages 767-817, Winter.
    2. McCloskey,Deirdre N., 1994. "Knowledge and Persuasion in Economics," Cambridge Books, Cambridge University Press, number 9780521436038, March.
    3. McCloskey,Deirdre N., 1994. "Knowledge and Persuasion in Economics," Cambridge Books, Cambridge University Press, number 9780521434751, March.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
    2. Jun Nagayasu, 2003. "The Efficiency of the Japanese Equity Market," IMF Working Papers 03/142, International Monetary Fund.
    3. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    4. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    5. David G. McMillan & Pako Thupayagale, 2009. "The efficiency of African equity markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(4), pages 275-292, October.
    6. Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
    7. Bai, Limiao & Yan, Sen & Zheng, Xiaolian & Chen, Ben M., 2015. "Market turning points forecasting using wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 184-197.
    8. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
    9. Keith Jefferis & Pako Thupayagale, 2008. "Long Memory In Southern African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(3), pages 384-398, September.
    10. Kristoufek, Ladislav, 2009. "Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
      [Long-term memory and its evolution in returns of PX between 1999 and 2009]
      ," MPRA Paper 16435, University Library of Munich, Germany.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ecorec:v:77:y:2001:i:239:p:393-406. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.