Australian All Ordinaries Share Price Index Futures and Random Walks

Richard Heaney
Additional contact information
Richard Heaney: Commerce Department, University of Queensland, St Lucia.

Australian Journal of Management, 1990, vol. 15, issue 1, 129-149

Abstract: The study covers the period 16/3/83 to 31/12/87, using daily futures prices to provide descriptive statistics and statistical tests for a random walk. The study period falls naturally into two periods, the pre-crash and period including the 1987 crash. The random walk hypothesis provides a “rough†description of futures price changes in the pre-crash period but is rejected for the full period. Some indication of the effect of the 1987 crash period on share price index futures prices is demonstrated via descriptive statistics. Day in the week effects are isolated both in terms of variance and returns. The existence of these effects suggest that random walk is at best an imperfect description of price changes over time.

Keywords: SHARE PRICE FUTURES; RANDOM WALK (search for similar items in EconPapers)
Date: 1990
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289629001500106 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:15:y:1990:i:1:p:129-149

DOI: 10.1177/031289629001500106

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().