AUSTRALIAN STOCK-MARKET VOLATILITY - 1875-1987

This paper investigates the volatility of monthly Australian stock ret urns over the period 1875-1987. There has been extensive work on this question in the United States, but little with data outside that count ry. Our analysis centres upon whether the 'stylized facts' regarding r eturns in the US also hold true for Australia We find that there are b oth similarities and differences. There is little evidence for asymmet ry in Australian returns but strong persistence of shocks into volatil ity. What is particularly interesting in the Australian series is the large volatility of the last two decades, an experience not matched in the US data.