Economics at your fingertips  

Australian Financial Market Volatility: An Exploration of Cross-country and Cross-market Linkages

Tro Kortian () and James O’Regan
Additional contact information
James O’Regan: Reserve Bank of Australia

RBA Research Discussion Papers from Reserve Bank of Australia

Abstract: 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.

JEL-codes: F30 G10 G15 (search for similar items in EconPapers)
Date: 1996-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link) (application/pdf)

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:

Access Statistics for this paper

More papers in RBA Research Discussion Papers from Reserve Bank of Australia Contact information at EDIRC.
Bibliographic data for series maintained by Paula Drew ().

Page updated 2020-10-28
Handle: RePEc:rba:rbardp:rdp9609