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The Semi‐Strong Efficiency of the Australian Share Market

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  • NICOLAAS GROENEWOLD
  • KUAY CHIN KANG

Abstract

This paper tests the weak and semi‐strong forms of the Efficient‐Markets Hypothesis (EMH) using data on the Australian skate market in the 1980s. The tests are based on aggregate share price indexes and the semi‐strong efficiency tests use macroeconomic data The weak‐form tests examine the autocorrelation structure of share returns and test for unit roots in share prices. The data are found to be consistent with the EMH.

Suggested Citation

  • Nicolaas Groenewold & Kuay Chin Kang, 1993. "The Semi‐Strong Efficiency of the Australian Share Market," The Economic Record, The Economic Society of Australia, vol. 69(4), pages 405-410, December.
    • Handle: RePEc:bla:ecorec:v:69:y:1993:i:4:p:405-410
    DOI: 10.1111/j.1475-4932.1993.tb02121.x
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    References listed on IDEAS

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    8. Hogan, W. P. & Sharpe, I. G. & Volker, P. A., 1982. "Capital market efficiency and the relationship between equity returns, interest rates, and monetary aggregates in Australia," Journal of Economics and Business, Elsevier, vol. 34(4), pages 377-385.
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    Cited by:

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    2. Subrata Roy, 2018. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis," Foreign Trade Review, , vol. 53(4), pages 225-238, November.

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