In the economic environment of the information age, the performance of the stock market is considered an important indicator of the health of a nation's economy. Typically, the performance of any stock market is reflected through stock market prices. It would not be over emphasizing to state that, now the stock market is shedding value, it is having a tremendous influence in shaping the overall economies of most developed nations around the globe. Two research questions from the perspective of the Australian stock market have been developed for empirical examination.The questions are: (i) what systematic risk factors are influential for the Australian stock market returns in both the long-and short-runs; and (ii) is the Australian stock market linked to developed stock markets under the influence of globalization? The methodological approaches suitable for empirical analyses have been closely investigated to reveal the precise characteristics of the long-run stock market pricing process.Empirical tests have been performed to ascertain whether the Australian stock market is responsive to the a priori variables, and if so, which ones and to what extent. Cointegration techniques have been applied to help answer both research questions. To answer the second research question, an analysis has been performed that examined six overseas developed stock markets and asked whether the Australian stock market is cointegrated with those markets in the long-run. The results of the first study show that only a few systematic risk factors are responsible for Australian stock market price movements in the long-run while short-run dynamics are in force. The results of the second study confirm that the Australian stock market is being influenced by a small number of overseas markets and it is integrated with those markets under the influence of globalization.
Date of Award | 2004 |
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Original language | English |
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- securities
- prices
- Australia
- risk assessment
Systematic risk factors in Australian security pricing
Kazi, M. H. (Author). 2004
Western Sydney University thesis: Doctoral thesis