The Consumer Sentiment Index (CSI) is a widely monitored economic indicator. The index measures consumer expectations, which contain information about potential future changes in consumer spending. Thus, any change in the dynamics of the sentiment index should contain important signals about...

This paper aims to investigate the form of systematic risk of Australian industrial stock returns. We suggest using four stochastic state-space models for the analysis. The stochastic properties of systematic risk are studied by examining four classes of state-space models: random walk model,...