STATISTICAL PROPERTIES OF THE AUSTRALIAN "ALL ORDINARIES" INDEX

Robin Storer () and Susan M. Gunner ()
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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

International Journal of Modern Physics C (IJMPC), 2002, vol. 13, issue 07, 893-897

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.

Keywords: Stock market; power law; asymmetry; 64.60.L; 89.90.+n (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0129183102003656

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