Time Varying Behavior of Share Returns in Australia: 1988–2004

Yew-Choe Lum and Sardar M. N. Islam
Additional contact information
Yew-Choe Lum: Executive Director, IVOS Education Sdn. Bhd. Malaysia
Sardar M. N. Islam: Victoria University, City Flinders Campus, P.O. Box 14428, Melbourne, Victoria 8001, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2016, vol. 19, issue 01, 1-14

Abstract: The model in this paper is similar to Brailsford and Faff (1997), using a conditional CAPM model with the GARCH-M framework, but with a significant additional dummy term (in the conditional mean of the share return) that will help explain the models better in both economic and statistical sense. The relatively simpler asymmetric model in this paper is compatible to other more complex asymmetric models and hence should be easier to model and explain for practical purposes. The model in this paper is also a more effective model, in both economical and statistical terms, as compared to some other models in the GARCH family as it captures the asymmetric effect in the modeling process in both the conditional first and second moments. The findings in this paper have contributed in re-evaluating the nature and process of time varying behavior of time series of stock returns and will provide researchers and practitioners additional options and incentives to explore for future research. We have also provided statistical and practical reasons to support these findings.

Keywords: Asymmetric effects; GARCH; conditional CAPM; share return (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091516500041
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:19:y:2016:i:01:n:s0219091516500041

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091516500041

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().