International Commodity Prices and the Australian Stock Market

Chris Heaton; George Milunovich; Anthony Passé-de Silva

doi:10.1111/j.1475-4932.2010.00686.x

International Commodity Prices and the Australian Stock Market

Chris Heaton, George Milunovich^*, Anthony Passé-de Silva

^*Corresponding author for this work

Department of Economics

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

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 15min 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.

Original language	English
Pages (from-to)	37-44
Number of pages	8
Journal	Economic Record
Volume	87
Issue number	276
DOIs	https://doi.org/10.1111/j.1475-4932.2010.00686.x
Publication status	Published - Mar 2011

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International Commodity Prices and the Australian Stock Market

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