Identifying macroeconomic determinants of daily equity market returns: an Australian study

Stefan Mero

Research output: ThesisMaster's Thesis

138 Downloads (Pure)

Abstract

This study examines macroeconomic risk factors in the context of the Australian stock market. It extends the existing Australian studies by investigating the relationship between macroeconomic news and stock market returns/return volatility at daily a level. The study covers the period before, during and after the Global Financial Crisis in 2008 to determine whether the effects of news differ during different phases of stock market activity. The main finding of this thesis Is that macroeconomic fundamentals -such as unemployment, the consumer price index and real gross domestic product - matter only after the onset of the Crisis.
Original languageEnglish
QualificationMasters
Awarding Institution
  • The University of Western Australia
Award date16 Aug 2016
Publication statusUnpublished - 2016

Fingerprint Dive into the research topics of 'Identifying macroeconomic determinants of daily equity market returns: an Australian study'. Together they form a unique fingerprint.

Cite this