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Australian Stock Market Volatility: 1875-1987

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  • Kearns, P
  • Pagan, A R

Abstract

This 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.

Suggested Citation

  • Kearns, P & Pagan, A R, 1993. "Australian Stock Market Volatility: 1875-1987," The Economic Record, The Economic Society of Australia, vol. 69(205), pages 163-178, June.
  • Handle: RePEc:bla:ecorec:v:69:y:1993:i:205:p:163-78
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    Cited by:

    1. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
    2. Andrew stuart Duncan & Guanglingdave Liu, 2009. "Modelling South African Currency Crises As Structural Changes In The Volatility Of The Rand," South African Journal of Economics, Economic Society of South Africa, pages 363-379.
    3. Kearney, Colm & Daly, Kevin, 1997. "Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia," International Review of Financial Analysis, Elsevier, pages 77-95.
    4. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 117-136.
    5. Daly, Kevin, 2008. "Financial volatility: Issues and measuring techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, pages 2377-2393.
    6. Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, pages 255-275.
    7. Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, pages 255-275.
    8. Coppejans, Mark & Domowitz, Ian, 1997. "Noise In the Price Discovery Process: A Comparison of Periodicand Continuous Auctions," Working Papers 97-04, Duke University, Department of Economics.
    9. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, pages 15-102.
    10. Booth, G. Geoffrey & Gurun, Umit G., 2008. "Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence," Journal of Empirical Finance, Elsevier, pages 131-144.
    11. Brailsford, Timothy J. & Faff, Robert W., 1997. "Testing the conditional CAPM and the effect of intervaling: A note," Pacific-Basin Finance Journal, Elsevier, pages 527-537.
    12. Ho, Kim Wai, 1996. "Short-sales restrictions and volatility The case of the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, pages 377-391.
    13. Carnero, María Ángeles & Peña, Daniel & Ruiz, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.

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