An empirical investigation of Australian Stock Exchange Data

William Bertram

Abstract

We present an empirical study of high frequency Australian equity data examining the behaviour of distribution tails and the existence of long memory. A method is presented that allows us to deal with Australian Stock Exchange data by splitting it into two separate data series representing an intraday and overnight component. Power law exponents for the empirical density functions are estimated and compared with results from other studies. Using the autocorrelation and variance plots we find there to be a strong indication of long memory type behaviour in the absolute return, volume and transaction frequency.

Keywords: Econophysics; Power law tails; Long memory process.