Excess volatility? The Australian stock market from 1883 to 1999

Heaney, R 2003, 'Excess volatility? The Australian stock market from 1883 to 1999', Managerial Finance, vol. 29, no. 10, pp. 76-94.


Document type: Journal Article
Collection: Journal Articles

Title Excess volatility? The Australian stock market from 1883 to 1999
Author(s) Heaney, R
Year 2003
Journal name Managerial Finance
Volume number 29
Issue number 10
Start page 76
End page 94
Total pages 18
Publisher Barmarick Publications
Abstract Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series analysis to annual Australian stock market data for the period 1883 to 1999. While Shiller's test suggests the possibility of excess volatility, time series analysis identifies a long-run relationship between share market value and dividends, consistent with the share market reverting to its fundamental discounted cash flow value over time.
Subject Financial Economics
Keyword(s) share market volatility
Australian stock market
1883-1999
value and divedends
DOI - identifier 10.1108/03074350310768526
ISSN 0307-4358
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