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An empirical analysis of the informational efficiency of Australian equity markets

Author

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  • Abdulnasser Hatemi‐J
  • Bryan Morgan

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.

Suggested Citation

  • Abdulnasser Hatemi‐J & Bryan Morgan, 2009. "An empirical analysis of the informational efficiency of Australian equity markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 36(5), pages 437-445, September.
    • Handle: RePEc:eme:jespps:v:36:y:2009:i:5:p:437-445
    DOI: 10.1108/01443580910992366
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    Cited by:

    1. Ali Koçyigit & Mustafa Ercan Kiliç & Tayfur Bayat, 2015. "A Causality Test on the Gibson Paradox in Turkey," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(10), pages 1134-1147, October.
    2. Mai Ahmed Abdelzaher, 2021. "Study the Efficiency Hypothesis in the Egyptian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 11(1), pages 18-25.

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