International Commodity Prices and the Australian Stock Market

被引：4

作者：

Heaton, Chris ^{[1
]}

Milunovich, George ^{[1
]}

Passe-De Silva, Anthony ^{[1
]}

机构：

[1] Macquarie Univ, Dept Econ, N Ryde, NSW 2109, Australia

来源：

ECONOMIC RECORD | 2011年 / 87卷 / 276期

关键词：

G14; G15; C52; UNITED-STATES; VOLATILITY;

D O I：

10.1111/j.1475-4932.2010.00686.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：37 / 44

页数：8

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