An empirical analysis of the informational efficiency of Australian equity markets

摘要

Purpose - The purpose of this paper is to investigate whether the Australian equity market isrninformationally efficient in the semi-strong form with regard to interest rates and the exchange raternshocks during the period 1994-2006.rnDesign/methodology/approach - There is evidence that the data are non-normal and thatrnautoregressive conditional heteroskedasticity (ARCH) effects exist and in such circumstances,rnstandard 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.rnFindings - The results show the Australian equity market is not informationally efficient withrnregard to either the interest rate or the exchange rate.rnOriginality/value - The empirical findings, in contrast to several previous studies, imply that thernpossibility for arbitrage profits in the equity market might exist.