A note on efficiency of Australian and New Zealand stock markets

Hasanov M.

APPLIED ECONOMICS, vol.41, no.2, pp.269-273, 2009 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 41 Issue: 2
  • Publication Date: 2009
  • Doi Number: 10.1080/00036840600994286
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.269-273
  • Hacettepe University Affiliated: No


In this article we re-examine efficiency of the Australia's and New Zealand's stock markets, extending recent work of Narayan (2005). For this purpose we apply the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003). The nonlinear unit root tests reject the null hypothesis of unit root, suggesting that the both stock markets are not weak form efficient, contrary to the findings of Narayan (2005).