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

Timothy J. Brailsford*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)


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
Issue number2
Publication statusPublished - 1995
Externally publishedYes


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