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

Stefan Mero

Research output: ThesisMaster's Thesis

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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

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Equity markets
Macroeconomics
Market returns
Stock market
Market activity
Consumer price index
Gross domestic product
Unemployment
News
Stock market returns
Risk factors
Macroeconomic fundamentals
Macroeconomic news
Global financial crisis
Return volatility

Cite this

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title = "Identifying macroeconomic determinants of daily equity market returns: an Australian study",
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.",
keywords = "Macroeconomic announcements, Macroeconomic surprises, Macroeconomic news, Daily equity market returns, Australian stock market, Macroeconomic risk factors, Daily equity return volatility, Stock market and business cycles",
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Mero, S 2016, 'Identifying macroeconomic determinants of daily equity market returns: an Australian study', Masters, The University of Western Australia.

Identifying macroeconomic determinants of daily equity market returns: an Australian study. / Mero, Stefan.

2016.

Research output: ThesisMaster's Thesis

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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.

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