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.
Original language | English |
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Pages (from-to) | 437-445 |
Number of pages | 9 |
Journal | Journal of Economic Studies |
Volume | 36 |
Issue number | 5 |
DOIs | |
Publication status | Published - Sept 2009 |
Keywords
- Australia
- Data collection
- Equity capital
- Money markets
ASJC Scopus subject areas
- General Economics,Econometrics and Finance