Mean reversion in Australasia
|dc.identifier.citation||Carson, C. (2000, June 12). Mean reversion in Australasia (Thesis). Retrieved from http://hdl.handle.net/10523/1347||en|
|dc.description.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.||en_NZ|
|dc.subject||New Zealand Stock Exchange||en_NZ|
|dc.subject||Australian Stock Exchange||en_NZ|
|dc.subject||1991 — 1999,||en_NZ|
|dc.subject||Efficient market hypothesis||en_NZ|
|dc.title||Mean reversion in Australasia||en_NZ|
|thesis.degree.grantor||University of Otago||en_NZ|
|otago.school.eprints||Finance & Quantitative Analysis||en_NZ|
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