Test of Macroeconomic Variables through APT in the ASX

Gaoxiang Wang

ISBN 10: 3659598410 / ISBN 13: 9783659598418

Published by LAP LAMBERT Academic Publishing, 2014

About this Item

nach der Bestellung gedruckt Neuware - Printed after ordering - The objective of this research is to find whether test the macroeconomic variables through Arbitrage Pricing Theory (APT) can explain the returns on the stock index in Australia. The research based on the returns of stocks listed on the Australian Stock Exchange (ASX) during the period from 31 March 2000 to 31 December 2007. The research anticipates that industry indices' returns can be explained by three to five of the thirteen macroeconomic variables selected in the research. Empirical results suggest that macroeconomic variables, used in an APT framework, can explain consumer discretionary, energy, financial, IT, and materials, price index returns, but cannot explain other index returns. Generally, APT is a desirable model in examining the ASX200, as it explains half of the industry indices' returns.

Seller Inventory # 9783659598418

Bibliographic Details

• Title: Test of Macroeconomic Variables through APT in the ASX
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2014
• Language: English
• ISBN 10: 3659598410
• ISBN 13: 9783659598418
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 6D millimeters 220 millimeters width by 150 millimeters height by 6 millimeters depth
• Weight: 155 grams

About this title

Synopsis

The objective of this research is to find whether test the macroeconomic variables through Arbitrage Pricing Theory (APT) can explain the returns on the stock index in Australia. The research based on the returns of stocks listed on the Australian Stock Exchange (ASX) during the period from 31 March 2000 to 31 December 2007. The research anticipates that industry indices’ returns can be explained by three to five of the thirteen macroeconomic variables selected in the research. Empirical results suggest that macroeconomic variables, used in an APT framework, can explain consumer discretionary, energy, financial, IT, and materials, price index returns, but cannot explain other index returns. Generally, APT is a desirable model in examining the ASX200, as it explains half of the industry indices’ returns.

About the Author

Dr Gaoxiang Matthew Wang is a Lecturer of Finance at the Zhejiang University of Finance and Economics, China. Dr Wang gained his Bachelor Degree from Massey University, his Master of Finance (Distinction) from Massey University and his Doctor of Philosophy from University of Waikato, New Zealand. His research interests are in corporate governance.