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International Commodity Prices and the Australian Stock Market

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  • CHRIS HEATON
  • GEORGE MILUNOVICH
  • ANTHONY PASSÉ‐DE SILVA

Abstract

We propose a method for estimating the earliest time during the trading day when overnight information is reflected in domestic share prices, and use it to measure the impact of international commodities on four Australian Securities Exchange (ASX) indices. While evidence is found that the ASX opening price does not fully reflect overnight news, this information is absorbed within 15 min of the opening time. Using appropriately constructed returns, we find international commodities to have a statistically significant and economically meaningful effect on the ASX. Nevertheless, the S&P 500 index appears to be a more important contributor of relevant overnight information.

Suggested Citation

  • Chris Heaton & George Milunovich & Anthony Passé‐De Silva, 2011. "International Commodity Prices and the Australian Stock Market," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 37-44, March.
    • Handle: RePEc:bla:ecorec:v:87:y:2011:i:276:p:37-44
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    File URL: http://hdl.handle.net/10.1111/j.1475-4932.2010.00686.x
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    References listed on IDEAS

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    Cited by:

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    3. Todorova, Neda, 2017. "The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis," Economic Modelling, Elsevier, vol. 64(C), pages 221-230.

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    More about this item

    Keywords

    G14 ; G15 ; C52 ;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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