Systematic Risk Factors for Australian Stock Market Returns: a Cointegration Analysis
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 r...
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| Format: | Article |
| Language: | English |
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University of Wollongong
2008-12-01
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| Series: | Australasian Accounting, Business and Finance Journal |
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| Online Access: | http://ro.uow.edu.au/aabfj/vol2/iss4/6 |