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dc.contributor.authorWorthington, Andrewen_US
dc.contributor.authorHiggs, Helenen_US
dc.date.accessioned2017-05-03T13:07:14Z
dc.date.available2017-05-03T13:07:14Z
dc.date.issued2009en_US
dc.date.modified2010-09-01T08:08:13Z
dc.identifier.issn13504851en_US
dc.identifier.doi10.1080/13504850601018379en_AU
dc.identifier.urihttp://hdl.handle.net/10072/30631
dc.description.abstractThis 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.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_AU
dc.format.extent168250 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglishen_US
dc.language.isoen_AU
dc.publisherRoutledgeen_US
dc.publisher.placeUnited Kingdomen_US
dc.relation.ispartofstudentpublicationNen_AU
dc.relation.ispartofpagefrom301en_US
dc.relation.ispartofpageto306en_US
dc.relation.ispartofissue3en_US
dc.relation.ispartofjournalApplied Economics Lettersen_US
dc.relation.ispartofvolume16en_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchFinanceen_US
dc.subject.fieldofresearchcode150201en_US
dc.titleEfficiency in the Australian stock market, 1875-2006: A note on extreme long-run random walk behaviouren_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.rights.copyrightCopyright 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.en_AU
gro.date.issued2009
gro.hasfulltextFull Text


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