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Ustralian Stock Market Volatility: 1875-1987

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  • PAGAN, A.R.
  • KEARNS, P.

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. Our analysis centres upon whether the ‘stylized facts’ regarding returns in the US also hold true for Australia. We 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 US data
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Suggested Citation

  • Pagan, A.R. & Kearns, P., 1990. "Ustralian Stock Market Volatility: 1875-1987," RCER Working Papers 248, University of Rochester - Center for Economic Research (RCER).
  • Handle: RePEc:roc:rocher:248
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    1. 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.
    2. Rajabrata Banerjee & Tony Cavoli & Ron McIver & Shannon Meng & John K. Wilson, 2023. "Predicting long‐run risk factors of stock returns: Evidence from Australia," Australian Economic Papers, Wiley Blackwell, vol. 62(3), pages 377-395, September.

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    financial market ; securities;

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