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- Title
International Commodity Prices and the Australian Stock Market.
- Authors
HEATON, CHRIS; MILUNOVICH, GEORGE; PASSÉ-DE SILVA, ANTHONY
- Abstract
We propose a method for estimating the earliest time during the trading day when overnight information is reflected in domestic share prices, and use it to measure the impact of international commodities on four Australian Securities Exchange (ASX) indices. While evidence is found that the ASX opening price does not fully reflect overnight news, this information is absorbed within 15 min of the opening time. Using appropriately constructed returns, we find international commodities to have a statistically significant and economically meaningful effect on the ASX. Nevertheless, the S&P 500 index appears to be a more important contributor of relevant overnight information.
- Subjects
AUSTRALIA; COMMODITY exchanges; STOCK exchanges; PRICES; INDEX numbers (Economics)
- Publication
Economic Record, 2011, Vol 87, Issue 276, p37
- ISSN
0013-0249
- Publication type
Article
- DOI
10.1111/j.1475-4932.2010.00686.x