Skip to main content

The intertemporal relationship between market return and variance: an Australian perspective

Buy Article:

$48.00 plus tax (Refund Policy)


In this paper we investigate the intertemporal relationship between the market risk premium and its conditional variance in an Australian setting. Using a bivariate EGARCH‐M model combined with the dynamic conditional correlation (DCC) framework as proposed by Engle (2000), we find evidence of a positive relationship between the market risk premium and its variance and evidence of two distinct interest rate effects. Furthermore, while the bond market’s own variance is not priced by investors, we find that the covariance between equity and bond markets is a significant risk factor that is priced in the market.

Keywords: Asset pricing; Bond factor; EGARCH‐M model; ICAPM

Document Type: Original Article


Affiliations: School of Economics and Finance, RMIT University, GPO Box 2476V, Melbourne, Australia, 3000

Publication date: November 1, 2001


Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more