Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios
AbstractThis paper examines the relationship between firm size and equity volatility for two portfolios of Australian equities. Univariate and Multivariate GARCH models are used to demonstrate that conditional variance is related to firm size. There is strong evidence to suggest that the variance-covariance matrix of returns is time varying and asymmetric. A negative innovation to the return of the large firm portfolio results in higher levels of conditional volatility in the small firm portfolio than would be the case for a positive innovation of equal magnitude. News about own returns appears to determine the conditional variance of the portfolio of large firms. The conditional covariance between the two portfolios also displays evidence of asymmetry. Copyright 1999 by Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Australian Economic Papers.
Volume (Year): 38 (1999)
Issue (Month): 4 (December)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-900X
Other versions of this item:
- Henry, O. & Sharma, J., 1998. "Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios," Department of Economics - Working Papers Series 617, The University of Melbourne.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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