Testing market efficiency across the GFC : a sectorial approach to the case of Australia

Research output: Chapter in Book / Conference PaperConference Paper

Abstract

![CDATA[This paper applies a range of linear and non-linear tests to investigate weak form market efficiency within the Australian Stock Exchange across the period of the GFC. In particular, we aim to answer the following question: can we detect changes in the efficiency of the market during the period of volatility and disruption associated with the GFC, and observe any divergence in market efficiency across sectors that demonstrate differing market performance? Spanning a time period of 2000 to 2015, the data is cleaved into three periods of distinct economic conditions: a pre-crisis period of relatively high growth, the GFC period of disruption and contraction, and a post-GFC period of relatively low growth. Furthermore, market returns are split into five industry indices to search for evidence of market inefficiency in those sectors (real estate, consumer discretionary, financials, materials and metals and mining). A range of tests are applied in order to systematically investigate the structure of the market in each sector, including both linear and non-linear tests. The results of the study confirm the lack of weak form market efficiency of the selected ASX indices, with these sectors demonstrating little switching to an efficient market within the post-GFC environment.]]
Original languageEnglish
Title of host publicationACE2016: 45th Australian Conference of Economics, 11-13 July 2016, Flinders University of South Australia
PublisherEconomic Society of Australia
Number of pages20
Publication statusPublished - 2016
EventAustralian Conference of Economists -
Duration: 11 Jul 2016 → …

Conference

ConferenceAustralian Conference of Economists
Period11/07/16 → …

Keywords

  • Global Financial Crisis, 2008-2009
  • stock exchanges
  • Australia

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