Time Stationarity of Systematic Risk: Some Australian Evidence

Robert W. Faff, John H. H. Lee and Tim R. L. Fry

No 267123, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: While the evidence on time-varying systematic risk of U.S. assets is well documented in the literature, little work has been conducted in the Australian equity market. This paper intends to fill this gap in the literature by employing an alternative testing procedure to those used in previous studies. Moreover, a new methodology of determining the p-value of a test statistic is applied. The results of our study suggest that there is evidence of time-varying systematic risk for both individual assets and portfolios in Australia.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 39
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/267123/files/monash-105.pdf (application/pdf)
https://ageconsearch.umn.edu/record/267123/files/monash-105.pdf?subformat=pdfa (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267123

DOI: 10.22004/ag.econ.267123

Access Statistics for this paper

More papers in Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().