TY - THES
T1 - Identifying macroeconomic determinants of daily equity market returns: an Australian study
AU - Mero, Stefan
PY - 2016
Y1 - 2016
N2 - 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.
AB - 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.
KW - Macroeconomic announcements
KW - Macroeconomic surprises
KW - Macroeconomic news
KW - Daily equity market returns
KW - Australian stock market
KW - Macroeconomic risk factors
KW - Daily equity return volatility
KW - Stock market and business cycles
M3 - Master's Thesis
ER -