Information-adjusted noise model: evidence of inefficiency on the Australian Stock Market

Ramiah, B and Davidson, S 2007, 'Information-adjusted noise model: evidence of inefficiency on the Australian Stock Market', Journal of Behavioural Finance, vol. 8, no. 4, pp. 209-224.


Document type: Journal Article
Collection: Journal Articles

Title Information-adjusted noise model: evidence of inefficiency on the Australian Stock Market
Author(s) Ramiah, B
Davidson, S
Year 2007
Journal name Journal of Behavioural Finance
Volume number 8
Issue number 4
Start page 209
End page 224
Total pages 15
Publisher Lawrence Erlbaum Associates
Abstract We describe the interaction between noise traders and information traders. We do not assume that information traders are error-free. Instead information traders make mistakes leading to under-reaction and over-reaction. Information traders may even add to pricing errors in the market. These interactions are captured in our information-adjusted noise model. We test our model using data from the Australian Stock Exchange. This market has a continuous information disclosure regime that allows us to determine when information is released to the market. We present evidence consistent with the notion that the market is often informationlly inefficient.
Subject Finance
Keyword(s) information trader
noise traders
information efficiency
stock exchanges
floor traders (finance)
securities trading
securities markets
efficient market theory
Copyright notice © 2007 by The Institute of Behavioral Finance
ISSN 1542-7560
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