Examining the long run relationship between the Australian equity market and the macroeconomy

McLennan, Andrew James. (2001). Examining the long run relationship between the Australian equity market and the macroeconomy Honours Thesis, School of Economics, The University of Queensland.

       
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Author McLennan, Andrew James.
Thesis Title Examining the long run relationship between the Australian equity market and the macroeconomy
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 2001
Thesis type Honours Thesis
Total pages 75
Language eng
Subjects 14 Economics
Formatted abstract The long run relationship between the Australian equity market and the macroeconomy is examined. The classical present value model is applied against time series data to test the hypothesis that in aggregate equity prices are determined by the discounted value of cash flows. Signs of the long run coefficients of most of the macroeconomic variables on stock prices support the hypothesised relationship, although industrial production does not appear to proxy cash flow in Australia as well as it has done in international research. Characteristics of the Australian economy, as well as structural change experienced over the period under consideration are put forward as possible factors affecting the long run steady state relationship implicit in the analysis, and hence the significance of the model itself.

 
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Created: Fri, 03 Dec 2010, 15:11:54 EST by Muhammad Noman Ali on behalf of Social Sciences and Humanities Library Service