IDEAS home Printed from https://ideas.repec.org/a/wsi/ijmpcx/v13y2002i07ns0129183102003656.html
   My bibliography  Save this article

Statistical Properties Of The Australian "All Ordinaries" Index

Author

Listed:
  • ROBIN STORER

    (School of Chemistry, Physics and Earth Sciences, The Flinders University of South Australia, GPO Box 2100, Adelaide 5001, Australia)

  • SUSAN M. GUNNER

    (School of Economics, The Flinders University of South Australia, GPO Box 2100, Adelaide 5001, Australia)

Abstract

Price changes of the primary index of the Australian Stock Market are analyzed over a period of about 20 years. The probability distribution of the relative changes in the index (returns) satisfies a distribution which is almost independent of the time interval chosen to measure the change. The distribution is consistent with the analysis of New York and other stock exchanges and also seems to satisfy a power law with exponent consistent with an inverse cubic law. If the data are separated into positive and negative returns this conclusion is not justified, particularly for the rising market. Thus there seems to be a significant asymmetry in the distribution.

Suggested Citation

  • Robin Storer & Susan M. Gunner, 2002. "Statistical Properties Of The Australian "All Ordinaries" Index," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(07), pages 893-897.
    • Handle: RePEc:wsi:ijmpcx:v:13:y:2002:i:07:n:s0129183102003656
    DOI: 10.1142/S0129183102003656
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0129183102003656
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0129183102003656?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peng Liu & Yanyan Zheng, 2022. "Precision measurement of the return distribution property of the Chinese stock market index," Papers 2209.08521, arXiv.org, revised Nov 2023.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijmpcx:v:13:y:2002:i:07:n:s0129183102003656. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijmpc/ijmpc.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.