This paper identifies the influential risk factors for the Australian stock market by applying cointegration technique. Relevant a priori variables are used to proxy for Australian systematic risk factors. The quarterly data from 1983 to 2002 are used in the analysis. The linear combination of a...

In the economic environment of the information age, the performance of the stock market is considered an important indicator of the health of a nation's economy. Typically, the performance of any stock market is reflected through stock market prices. It would not be over emphasizing to state...