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An empirical investigation of Australian Stock Exchange data

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  • Bertram, William K

Abstract

We present an empirical study of high frequency Australian equity data examining the behaviour of distribution tails and the existence of long memory. A method is presented allowing us to deal with Australian Stock Exchange data by splitting it into two separate data series representing an intraday and overnight component. Power-law exponents for the empirical density functions are estimated and compared with results from other studies. Using the autocorrelation and variance plots we find there to be a strong indication of long-memory type behaviour in the absolute return, volume and transaction frequency.

Suggested Citation

  • Bertram, William K, 2004. "An empirical investigation of Australian Stock Exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 341(C), pages 533-546.
    • Handle: RePEc:eee:phsmap:v:341:y:2004:i:c:p:533-546
    DOI: 10.1016/j.physa.2004.04.132
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