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ASX volatility measures below long-term averages

Krystine Lumanta  |  07 Dec 2012Text size  Decrease  Increase  |  

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Krystine Lumanta is a journalist with InvestorDaily, a Sterling publication.


The value of stocks listed on the Australian Securities Exchange (ASX), as measured by the All Ordinaries Index, fell by 0.4 per cent in November 2012.

The performance was below rises in other major markets, including Japan (up 5.8 per cent), Germany (up 2 per cent), Hong Kong (up 1.8 per cent), the United Kingdom (up 1.5 per cent), Singapore (up 1 per cent) and the United States (up 0.3 per cent).

Volatility measures for the Australian equity market were below long-term averages during November.

Current volatility, as measured by the average daily movement in the All Ordinaries Index, was 0.5 per cent in November - up on the previous month's 0.4 per cent.

In addition, expected future volatility as measured by the S&P/ASX 200 VIX, rose in November to an average of 14.2, compared with 12.9 in the previous month.

Total capital raised in November, including scrip-for-scrip, totalled $4.9 billion, down 5 per cent on the $5.2 billion in the previous corresponding period (pcp).

However, both initial and secondary capital raised, excluding scrip-for-scrip, were higher than the pcp.

The average daily number of trades was 7 per cent lower than the pcp and the average daily value of trading was 13 per cent lower than the pcp.

Average daily derivatives traded on the ASX increased by 2 per cent on the pcp, with both single stock options and index option volumes higher.

Average daily futures and options on futures volume on the ASX 24 increased by 20 per cent on the pcp.