Gaoxiang Wang; Lim, Christine
March 2010
Journal of International Finance & Economics;2010, Vol. 10 Issue 2, p113
Academic Journal
The objective of this paper is to examine the impact of macroeconomic variables on the industry stock returns in Australia. Monthly price indexes of stocks listed on the Australian Stock Exchange (ASX) and time series macroeconomic factors from March 2000 to 31 December 2007 are used. According to the ASX200 classification, the index comprises eleven industry sectors: A-REITs, consumer discretionary, consumer staples, energy, financials, healthcare, materials, industrials, IT, telecommunication services and utilities. The macroeconomic variables used in the study include changes in the ASX P/E ratio, the exchange rates between the Australian, New Zealand and the United States dollars, the ASX bond index return, the dividend yield of ASX200, the ASX200 market return and capitalization, the official cash rate, interbank interest rate, treasury bill yield and the unemployment rate. Unit root tests are applied to the return and macro variables, and appropriately transformed to obtain stationarity of the data series. Time series regressions show that macroeconomic factors are important determinants of the ASX industry returns.


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