Ustralian Stock Market Volatility: 1875-1987
AbstractThis paper investigates the volatility of monthly Australian stock returns over the period 1875-1987. There has been extensive work on this question in the United States but little with data outside that country. The authors' analysis centers upon whether the stylized facts regarding returns in the United States also hold true for Australia. They find that there are both similarities and differences. There is little evidence for asymmetry in Australian returns but strong persistence of shocks into volatility. What is particularly interesting in the Australian series is the large volatility of the last two decades, an experience not matched in the U.S. data. Copyright 1993 by The Economic Society of Australia.
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Bibliographic InfoPaper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 248.
Length: 30 pages
Date of creation: 1990
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Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.
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