Premium
Australian Stock Market Volatility: 1875–1987*
Author(s) -
KEARNS P.,
PAGAN A.R.
Publication year - 1993
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/j.1475-4932.1993.tb01811.x
Subject(s) - stylized fact , volatility (finance) , economics , financial economics , stock (firearms) , econometrics , geography , macroeconomics , archaeology
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