Predicting long-run risk factors of stock returns: Evidence from Australia

IF 1.2 4区 经济学 Q3 ECONOMICS
Rajabrata Banerjee, Tony Cavoli, Ron McIver, Shannon Meng, John K. Wilson
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引用次数: 0

Abstract

This study utilises the stock market data provided by the Australian Equity Database to analyse the long-run relationship between Australian stock returns and key macroeconomic variables over the period 1926–2017. To measure the diverse risk factors in the stock market, we examine the possible determinants in four main categories: real, financial, domestic and international. Our results reveal that historical stock returns are strongly connected to financial and international factors as compared to real and domestic factors. Both the 1973–1974 OPEC Oil Price Crisis and 2007–2008 Global Financial Crisis had dampening effects on stock returns. There is a positive association between the US and Australian stock markets in the long-run. These findings on stock market dynamics and their linkages with domestic and international macroeconomic policy changes in the long-run have important implications for traders and practitioners.

Abstract Image

预测股票收益的长期风险因素:来自澳大利亚的证据
本研究利用澳大利亚股票数据库提供的股票市场数据,分析了1926-2017年期间澳大利亚股票回报与关键宏观经济变量之间的长期关系。为了衡量股票市场中的各种风险因素,我们研究了四个主要类别的可能决定因素:实际,金融,国内和国际。我们的研究结果表明,与实际和国内因素相比,历史股票回报与金融和国际因素密切相关。1973-1974年欧佩克石油价格危机和2007-2008年全球金融危机都对股票收益有抑制作用。从长期来看,美国和澳大利亚股市之间存在正相关关系。这些关于股票市场动态及其与长期国内和国际宏观经济政策变化的联系的发现对交易者和从业者具有重要意义。
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来源期刊
CiteScore
3.20
自引率
5.30%
发文量
36
期刊介绍: Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.
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