Excess volatility? the Australian stock market from 1883 to 1999
Abstract
Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series analysis to annual Australian stock market data for the period 1883 to 1999. While Shiller’s test suggests the possibility of excess volatility, time series analysis identifies a long‐run relationship between share market value and dividends, consistent with the share market reverting to its fundamental discounted cash flow value over time.
Keywords
Citation
Heaney, R. (2003), "Excess volatility? the Australian stock market from 1883 to 1999", Managerial Finance, Vol. 29 No. 10, pp. 76-94. https://doi.org/10.1108/03074350310768526
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited