Systematic Risk Factors for Australian Stock Market Returns: a Cointegration Analysis
| Autor: | Mazharul H. Kazi |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2008 |
| Předmět: | |
| Zdroj: | Australasian Accounting, Business and Finance Journal, Vol 2, Iss 4, Pp 89-101 (2008) |
| Druh dokumentu: | article |
| ISSN: | 1834-2000 1834-2019 |
| Popis: | This paper identifies the systematic risk factors for the Australian stock market by applyingthe cointegration technique of Johansen. In conformity with the finance literature andinvestors’ common intuition, relevant a priori variables are chosen to proxy for Australiansystematic risk factors. The results show that only a few systematic risk factors are dominantfor Australian stock market price movements in the long-run while short-run dynamics are inplace. It is observed that the linear combination of all a priori variables is cointegratedalthough not all variables are significantly influential. The findings show that bank interestrate, corporate profitability, dividend yield, industrial production and, to a lesser extent, globalmarket movements are significantly influencing the Australian stock market returns in thelong-run; while in the short-run it is being adjusted each quarter by its own performance,interest rate and global stock market movements of previous quarter. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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