%0 Journal Article
%T Systematic Risk Factors for Australian Stock Market Returns: a Cointegration Analysis
%A Mazharul H. Kazi
%J Australasian Accounting Business and Finance Journal
%D 2008
%I University of Wollongong
%X This paper identifies the systematic risk factors for the Australian stock market by applyingthe cointegration technique of Johansen. In conformity with the finance literature andinvestorsĄ¯ 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.
%K Systematic risk factors
%K returns
%K APT
%U http://ro.uow.edu.au/aabfj/vol2/iss4/6