Time varying volatility and beta patterns of sub-indices on the Australian stock exchange

Sokulsky, D, Brooks, R and Davidson, S 2003, 'Time varying volatility and beta patterns of sub-indices on the Australian stock exchange', Accounting Research Journal, vol. 16, no. 2, pp. 117-132.


Document type: Journal Article
Collection: Journal Articles

Title Time varying volatility and beta patterns of sub-indices on the Australian stock exchange
Author(s) Sokulsky, D
Brooks, R
Davidson, S
Year 2003
Journal name Accounting Research Journal
Volume number 16
Issue number 2
Start page 117
End page 132
Total pages 16
Publisher RMIT University
Abstract The purpose of this paper is to examine both the volatility and beta patterns of thirteen sub-indices on the Australian Stock Exchange using daily data over the period June 1992 and June 2001. The sub-indices considered include the ASX20 Leaders. ASX200. ASX'OO. All Industrials. All Resources. and the ASXlRussell Style sub-indices. This study is conducted in two parts with both GARCH and EGARCH models being employed to a) model the time-varying volatility of each sub-index and b) construct a time varying beta series for each sub-index. Results appear 10 show that the volatility of sub-indices in the Australian market exhibit time varying properties. The analysis shows signs of a leverage effect being present during the sample time period. and also reveals that different style sub-indices demonstrate varying levels of volatility persistence. The second part of the study uncovers evidence that sub-index betas are time-varying. this is particularly true when global indices are used as a market proxy. Although the mean value of the sub-index beta series are very close to the OLS beta estimates, graphically it can be seen that their beta's are not stable over the time period studied.
Subject Financial Economics
ISSN 1030-9616
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