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1、AppliedFinancialEconomicsISSN:0960-3107(Print)1466-4305(Online)Journalhomepage:http://www.tandfonline.com/loi/rafe20ThecausesofstockmarketvolatilityinAustraliaColmKearney&KevinDalyTocitethisarticle:ColmKearney&KevinDaly(1998)ThecausesofstockmarketvolatilityinAustralia,Applie
2、dFinancialEconomics,8:6,597-605,DOI:10.1080/096031098332637Tolinktothisarticle:http://dx.doi.org/10.1080/096031098332637Publishedonline:07Oct2010.SubmityourarticletothisjournalArticleviews:169ViewrelatedarticlesCitingarticles:12ViewcitingarticlesFullTerms&Conditionsofaccessa
3、ndusecanbefoundathttp://www.tandfonline.com/action/journalInformation?journalCode=rafe20Downloadby:[UniversityofExeter]Date:20March2016,At:08:12AppliedFinancialEconomics,1998,8,597Ð605ThecausesofstockmarketvolatilityinAustraliaCOLMKEARNEYandKEVINDALY*UniversityofTechnology,S
4、ydney,Australiaand*DepartmentofEconomicsandFinance,UniversityofWesternSydney,AustraliaThepaperexaminestheextenttowhichtheconditionalvolatilityofstockmarketreturnsinasmall,internationallyintegratedstockmarketarerelatedtothecondi-tionalvolatilityof®nancialandbusinesscyclevaria
5、bles.ItemploysalowfrequencymonthlydatasetforAustraliaincludingstockmarketreturns,interestrates,in¯ation,themoneysupply,industrialproductionandthecurrentaccountde®citovertheperiodfromJuly1972toJanuary1994.Anovelfeatureoftheanalysisistheestimationstrategyemployedtoovercometheg
6、eneratedregressorsproblemwhichpervadessomerecentrelatedresearch.Speci®cally,theprocedureofemployingatwo-stageestimationprocessto®rstestimateconditionalvolatilitiesandthenmodeltheirinterrelationshipsyieldsinecientestimates,introducesbiasintoanumberofdiagnosticteststatisticsan
7、dgeneratespotentiallyinvalidinferences.Thisproblemisovercomeinthecurrentpaperbyjointlyestimatingtheequationfortheconditionalvolatilityofstockmarketreturnstogetherwiththeequationsdeterminingthecondi-tionalvolatilitiesofallvariablesincludedinthemodelusingthegeneralizedleastsqu
8、ares(GLS)estimationproceduretogetherwiththeHendrygeneral-to-speci®cmodellin
