Market closures and time-varying volatility in the Australian equity market

Timothy J. Brailsford

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)

Abstract

This study utilises the ARCH class of models to examine the impact of market closures on conditional volatility in the Australian equity market. Market closures prevent trading yet do not prevent the production of information. It is found that trading days following market closures experience an increase in conditional volatility which is consistent with the hypothesis that the production of information over the closure affects volatility (and hence risk) once the market re-opens. These results are robust to GARCH-M and asymmetric GARCH model specifications.

Original languageEnglish
Pages (from-to)165-172
Number of pages8
JournalJournal of Empirical Finance
Volume2
Issue number2
DOIs
Publication statusPublished - 1995
Externally publishedYes

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Closure
Time-varying volatility
Equity markets
Conditional volatility
GARCH-M model
Model specification
Asymmetric GARCH model
Autoregressive conditional heteroscedasticity

Cite this

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Market closures and time-varying volatility in the Australian equity market. / Brailsford, Timothy J.

In: Journal of Empirical Finance, Vol. 2, No. 2, 1995, p. 165-172.

Research output: Contribution to journalArticleResearchpeer-review

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