Australian All Ordinaries Share Price Index Futures and Random Walks

Heaney R. (1990) Australian All Ordinaries Share Price Index Futures and Random Walks. Australian Journal of Management, 15 1: 129-149. doi:10.1177/031289629001500106


Author Heaney R.
Title Australian All Ordinaries Share Price Index Futures and Random Walks
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 1327-2020
Publication date 1990-01-01
Sub-type Article (original research)
DOI 10.1177/031289629001500106
Volume 15
Issue 1
Start page 129
End page 149
Total pages 21
Subject 1400 Business, Management and Accounting
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.
Keyword RANDOM WALK
SHARE PRICE FUTURES
Q-Index Code C1
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: Scopus Import - Archived
 
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Created: Tue, 13 Sep 2016, 12:31:42 EST by System User