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

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    Author(s)
    Worthington, Andrew C
    Higgs, Helen
    Griffith University Author(s)
    Worthington, Andrew C.
    Higgs, Helen
    Year published
    2009
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    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 ...
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    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.
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    Journal Title
    Applied Economics Letters
    Volume
    16
    Issue
    3
    DOI
    https://doi.org/10.1080/13504850601018379
    Copyright Statement
    © 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.
    Subject
    Applied economics
    Banking, finance and investment
    Finance
    Publication URI
    http://hdl.handle.net/10072/30631
    Collection
    • Journal articles

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