Empirical Study on Risk and Return of Australian Equity Market
In this article, we empirically examine and discuss the risk and return of Australian market as well as five industry sector portfolios (Materials, Financials, Info Tech, Health Care and Cons Staples) on ASX over a ten-year period. Several techniques will be used, including EDA, Correlation analysis, CAPM, Stress Testing and Factor modeling. Our research draws the conclusions: all portfolios in the market have close-to-zero average monthly returns over ten-year period; they are all negative skewed and fat-tailed comparing to a normal distribution; none of the industries have significant above-market average return over this period, and they have different levels of market risk and tail risk; by comparing the factor model and the CAPM, independent variables and coefficients are meaningful in the CAPM which subject to heteroskedasticity of errors, while the factor model has better fit than the CAPM for return series.
risk and return EDA CAPM Stress Testing Factor modeling
LI Bowei LI Jialong
Business School, The University of Sydney, Sydney, Australia, 2006 School of Economics, Shenzhen Polytechnic, Shenzhen, China, 518055
国际会议
大连
英文
200-206
2012-07-07（万方平台首次上网日期，不代表论文的发表时间）