Time varying volatility and beta patterns of sub-indices on the Australian stock exchange
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.
Year of publication: |
2003
|
---|---|
Authors: | Sokulsky, D ; Brooks, R ; Davidson, S |
Publisher: |
RMIT University |
Saved in:
Saved in favorites
Similar items by person
-
Brooks, R, (1997)
-
Cut taxes to raise more revenue
Davidson, S, (2006)
-
Brooks, R, (2010)
- More ...