The authors thank Renee Fry, Mardi Dungey and other participants at the workshop on financial econometrics, University of Tasmania (2009).
International Commodity Prices and the Australian Stock Market*
Article first published online: 12 JAN 2011
© 2011 The Economic Society of Australia
Volume 87, Issue 276, pages 37–44, March 2011
How to Cite
HEATON, C., MILUNOVICH, G. and PASSÉ-DE SILVA, A. (2011), International Commodity Prices and the Australian Stock Market. Economic Record, 87: 37–44. doi: 10.1111/j.1475-4932.2010.00686.x
- Issue published online: 20 FEB 2011
- Article first published online: 12 JAN 2011
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.