International Commodity Prices and the Australian Stock Market

8 Pages Posted: 14 Mar 2011

See all articles by Christopher Heaton

Christopher Heaton

Macquarie University - Department of Economics; UNSW Australia Business School, School of Economics

George Milunovich

Macquarie University - Department of Economics; Macquarie University, Macquarie Business School

Anthony Pass-De-Silva

affiliation not provided to SSRN

Date Written: February 20, 2011

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.

Keywords: G14, G15, C52

Suggested Citation

Heaton, Chris and Milunovich, George and Pass-De-Silva, Anthony, International Commodity Prices and the Australian Stock Market (February 20, 2011). Economic Record, Vol. 87, Issue 276, pp. 37-44, 2011, Available at SSRN: https://ssrn.com/abstract=1782485 or http://dx.doi.org/10.1111/j.1475-4932.2010.00686.x

Chris Heaton (Contact Author)

Macquarie University - Department of Economics ( email )

Sydney NSW 2109
Australia

UNSW Australia Business School, School of Economics

High Street
Sydney, NSW 2052
Australia

George Milunovich

Macquarie University - Department of Economics ( email )

Sydney NSW 2109
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

Anthony Pass-De-Silva

affiliation not provided to SSRN

No Address Available

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