Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios

Ólan Henry and J. Sharma

No 617, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper examines the relationship betwen firm size and equity volatility for two portfolios of Australian equities. Univariate and multivariate asymmetric GARCH models are used to demonstrate that conditional volatility is related to firm size. There is strong evidence to suggest that the variance-covariance matrix of returns is time varying and asymetric.

Keywords: STOCKS; SIZE OF ENTERPRISE (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1998
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Journal Article: Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios (1999)
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