Test of Macroeconomic Variables through APT in the ASX - Couverture souple

Wang, Gaoxiang

Couverture souple

ISBN 10 : 3659598410 ISBN 13 : 9783659598418

Editeur : LAP LAMBERT Academic Publishing, 2014

Synopsis

The objective of this research is to find whether test the macroeconomic variables through Arbitrage Pricing Theory (APT) can explain the returns on the stock index in Australia. The research based on the returns of stocks listed on the Australian Stock Exchange (ASX) during the period from 31 March 2000 to 31 December 2007. The research anticipates that industry indices’ returns can be explained by three to five of the thirteen macroeconomic variables selected in the research. Empirical results suggest that macroeconomic variables, used in an APT framework, can explain consumer discretionary, energy, financial, IT, and materials, price index returns, but cannot explain other index returns. Generally, APT is a desirable model in examining the ASX200, as it explains half of the industry indices’ returns.

Détails de l'édition

• Éditeur: LAP LAMBERT Academic Publishing
• Date d'édition: 2014
• Langue: anglais
• ISBN 10: 3659598410
• ISBN 13: 9783659598418
• Reliure: Broché
• Nombre de pages: 92
• Coordonnées du fabricant: non disponible
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