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Mean–Variance Efficiency, Aggregate Shocks and Return Horizons
Author(s) -
Fraser Patricia,
Groenewold Nicolaas
Publication year - 2001
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/1467-9957.00235
Subject(s) - economics , econometrics , volatility (finance) , conditional variance , variance (accounting) , conditional expectation , stock (firearms) , aggregate (composite) , statistics , financial economics , mathematics , autoregressive conditional heteroskedasticity , geography , materials science , accounting , archaeology , composite material
Using monthly, semi‐annual and annual sampling frequencies from February 1974 to June 1996, we reject the mean–variance efficiency of the Australian stock market while supporting the view that conditional variances are not constant in time. Results indicate that unexpected movements in key aggregate factors have added value in explaining industrial sector conditional volatility, particularly at horizons of six months and greater.