The Semi-Strong Efficiency of the Australian Share Market*

This paper tests the weak and semi-strong forms of the Efficient-Markets Hypothesis (EMH) using data on the Australian skate market in the 1980s. The tests are based on aggregate share price indexes and the semi-strong efficiency tests use macroeconomic data The weak-form tests examine the autocorrelation structure of share returns and test for unit roots in share prices. The data are found to be consistent with the EMH.