Download or read book Australian Financial Market Volatility written by Tro Kortian and published by . This book was released on 1996 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the behaviour of daily asset price movements in Australian bond, share and foreign exchange markets over the period 1987 to 1996, and addresses four questions concerning volatility and international market linkages. First, is there evidence of a trend increase in volatility in Australian financial markets? Second, have Australia's financial markets become more responsive to developments in counterpart foreign markets, and if so, what are the predominant foreign influences? Third, have international influences been more or less important than domestic cross-market influences? Fourth, is there evidence of directionality and other asymmetries in Australian financial market volatility? The paper finds no compelling evidence to suggest the presence of a trend increase in volatility over the period. Evidence does exist, however, of quite significant cross-country 'contagion' or 'spillover' effects on Australia's bond and equity markets. For both of these markets, the predominant foreign market influence appears to be the US. Australian bond and share market volatility is found to be higher in bear markets than in bull markets, and higher following a market fall than a market rise. Evidence supporting the presence of asymmetries in the correlation of volatilities across markets is also documented.

Download or read book Volatility Spillover Between the Chinese and Australian Stock Markets written by Wei Chi and published by . This book was released on 2015 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This paper finds that the volatility spillover across these two markets is bidirectional while there is single or insignificant spillover across industries between these two countries. More specifically, the results of the Granger causality test show that the stock market volatility spillover is bidirectional between these two markets in the financial, health care, industrials, information technology, and materials industries. One-way volatility spillover exists in the consumer staples industry and there is insignificant volatility spillover in the energy, telecommunications, and utilities industries between the Chinese and Australian stock markets.

Download or read book Financial Volatility and Real Economic Activity written by Kevin Daly and published by Routledge. This book was released on 2019-01-15 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.

Download or read book Modelling Australian Stock Market Volatility written by Tim Brailsford and published by . This book was released on 1993 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Reaction of the Australian Financial Markets to the Interest Rate News from the Reserve Bank of Australia and the US Fed written by Suk-Joong Kim and published by . This book was released on 2008 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides comprehensive evidence on the impacts of the Reserve Bank of Australia's (RBA) and the U.S. Fed's target interest rate announcement news on the Australian financial markets over the period 1998-2006. The RBA's news had a significant impact on the first moments of market returns/changes in line with a priori expectations, and the conditional volatility in most of the markets was significantly higher following the news. Asymmetric news effect is also observed for the Australian interest rates where markets tended to respond more strongly to unexpected rate rises than rate falls. While the U.S. Fed's news influenced only the USD/AUD exchange rate, the Australian market volatility was significantly lower in all market segments following the Fed's news.

Download or read book Australia s Financial Markets written by Bill Warner and published by Allen & Unwin. This book was released on 1989 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Australian Stock Market Volatility 1875 1987 written by Phillip Kearns and published by . This book was released on 1990 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility Spillover Between the US Chinese and Australian Stock Markets written by Emawtee Bissoondoyal-Bheenick and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the stock market volatility spillover between three closely related countries, United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one way volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the GFC, we find significant bilateral relationship across all of the industries across the three countries.

Download or read book The Behaviour of Australian Stock Market Volatility written by Tim Brallsford and published by . This book was released on 1992 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Central Bank Intervention and Exchange Rate Volatility written by Suk-Joong Kim and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Australian Stock Market Volatility written by Indika Karunanayake and published by . This book was released on 2009 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing Behaviour in Australian Financial Futures Markets written by Malcolm L. Edey and published by . This book was released on 1988 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Australian Banking Risk written by Marianne Gizycki and published by . This book was released on 1999 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: The likelihood of a bank failing, within a given period of time, is a function of the variability in its income and its ability to withstand losses. These determinants depend, in turn, on the volatility of the return on bank assets and the bank's level of capital. Although accounting measures of the volatility of the rate of return on bank assets and bank capital-asset ratios are published on a regular basis, market prices provide alternative risk measures. This paper uses share prices to estimate these risks measures for 15 Australian banks that were listed on the Australian Stock Exchange for all, or part of, the period 1983 to 1998. Option prices are also used to generate alternative estimates of these risk measures, the results of which corroborate those obtained from share prices. We find that the market's assessment of the capital-asset ratio for the Australian banking sector has risen considerably over the sample period. There has also been a slight upward trend in the volatility of asset returns. These two trends have opposite effects on the market's assessment of total bank risk: rising capital-asset ratios reduce bank risk, but rising asset volatility increases it. To uncover which trend has dominated, we examine a couple of measures of total bank risk, which summarises the net impact of movements in both the capital-asset ratio and asset volatility. These additional risk measures suggest that the riskiness of the sector has declined. In investigating the relationship between banks' capital-asset ratio and asset volatility over time, we find that increases in the growth of the capital-asset ratio precede increases in asset volatility which, in turn, cause a slowdown in capital growth.

Download or read book Trading Volume Realized Volatility and Jumps on the Australian Stock Market written by Hassan Shahzad and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving realized volatility. The number of trades by the individual investors carries more explanatory power in explaining volatility compared to the number of trades by institutional investors. The average trade size cannot be entirely disregarded, though; its importance compared to the number of trades is limited. Order imbalance plays a minimal role in driving volatility.

Download or read book The Response of Financial Markets in Australia and New Zealand to News about the Asian Crisis written by Luci Ellis and published by . This book was released on 2001 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate the spillover of the financial-market volatility arising from the East-asian crisis on financial markets in Australia and New Zealand. We do this by examining the impact of the major 'news' from Asia on the stock, bond and foreign exchange markets of the two countries. We find that news - both positive and negative - about developments in the crisis economies in Asia clearly had repercussions for ...

Download or read book Australian Financial Volatility written by Kevin Daly and published by . This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Transitory Nature of Idiosyncratic Volatility Across Australian Shares written by Adam J. Corbett and published by . This book was released on 2010 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: "It has long been recognised that a key attribute of any capitalist economy is the inevitable up and down patterns exhibited by its financial markets which are described by the common concepts of the market cycle. Whilst these markets have a general tendency to conform to a cyclical pattern emanating between peaks and troughs, history has shown that every so often financial markets stray without warninjg from these general cyclical patters to collapse abruptly." - p.1.