Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios
AbstractThis paper examines the relationship betwen firm size and equity volatility for two portfolios of Australian equities. Univariate and multivariate asymmetric GARCH models are used to demonstrate that conditional volatility is related to firm size. There is strong evidence to suggest that the variance-covariance matrix of returns is time varying and asymetric.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 617.
Length: 23 pages
Date of creation: 1998
Date of revision:
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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
Web page: http://www.economics.unimelb.edu.au
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STOCKS ; SIZE OF ENTERPRISE;
Other versions of this item:
- Henry, Olan T & Sharma, John, 1999. "Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios," Australian Economic Papers, Wiley Blackwell, vol. 38(4), pages 393-406, December.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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