The paper examines the extent to which the conditional volatility of stock market returns in a small, internationally integrated stock market are related to the conditional volatility of financial and business cycle variables. It employs a low frequency monthly dataset for Australia including...

This article presents a study of asset price volatility, correlation trends and market risk premia. Recent evidence shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US (Campbell et al., 2001). We find that, in relation to the Euro-area stock...