Mean reversion in Australasia
This item is not available in full-text via OUR Archive.
If you would like to read this item, please apply for an inter-library loan from the University of Otago via your local library.
If you are the author of this item, please contact us if you wish to discuss making the full text publicly available.
Cite this item:
Carson, C. (2000, June 12). Mean reversion in Australasia (Thesis). Retrieved from http://hdl.handle.net/10523/1347
Permanent link to OUR Archive version:
http://hdl.handle.net/10523/1347
Abstract:
The strong-form version of the efficient market hypothesis states that all information, past and current, is incorporated into the current share price, thus making investing a chance exercise. This study examines this by testing for mean reversion, ie., investor overreaction. I use all stocks that traded on either the New Zealand Stock Exchange or the Australian Stock Exchange from 1991 — 1999 to test if profits are possible by selling stocks that are performing well to purchase stocks that are performing poorly. This strategy finds that profits using this technique are insignificant, suggesting there is no mean reversion present in these markets.
Date:
2000-06-12
Degree Discipline:
Finance
Pages:
33
Keywords:
mean reversion; investor overreaction; New Zealand Stock Exchange; Australian Stock Exchange; 1991 — 1999,; Efficient market hypothesis
Research Type:
Thesis
Collections
- Thesis - Masters [2665]
- Accountancy and Finance [248]