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Modeling Australia's country risk: a country beta approach

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  • Gangemi, Michael A. M.
  • Brooks, Robert D.
  • Faff, Robert W.

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  • Gangemi, Michael A. M. & Brooks, Robert D. & Faff, Robert W., 2000. "Modeling Australia's country risk: a country beta approach," Journal of Economics and Business, Elsevier, vol. 52(3), pages 259-276.
  • Handle: RePEc:eee:jebusi:v:52:y:2000:i:3:p:259-276
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    1. Jagannathan, Ravi & Wang, Zhenyu, 1996. "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    2. J. D. Pitchford, 1989. "A Sceptical View of Australia's Current Account and Debt Problem," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 22(2), pages 5-14, June.
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    5. Stephen Godfrey & Ramon Espinosa, 1996. "A Practical Approach To Calculating Costs Of Equity For Investments In Emerging Markets," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 80-90, September.
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    10. Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
    11. Nicolaas, Patricia Groenewold Fraser, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9‐10), pages 1367-1383, October.
    12. Tan, Ting-Yean, 1992. "Event Studies of Efficiency in the Australian Interest Rate Futures Market," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 135-140, Supplemen.
    13. Ting‐Yean Tan, 1992. "Event Studies of Efficiency in the Australian Interest Rate Futures Market," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 135-140, December.
    14. Jongmoo Jay Choi & Murli Rajan, 1997. "A Joint Test of Market Segmentation and Exchange Risk Factor in International Capital Market," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 28(1), pages 29-49, March.
    15. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
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    17. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Chapters, in: The Internationalization of Equity Markets, pages 23-58, National Bureau of Economic Research, Inc.
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    19. Harvey, Campbell R, 1991. "The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
    20. J. D. Pitchford, 1989. "Does Australia Really Have A Current Account Problem?," Economic Papers, The Economic Society of Australia, vol. 8(4), pages 25-32, December.
    21. Jakob De Haan & Clemens Siermann & Erna Van Lubek, 1997. "Political instability and country risk: new evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 703-707.
    22. Donald R. Lessard, 1996. "Incorporating Country Risk In The Valuation Of Offshore Projects," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 52-63, September.
    23. McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
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    Cited by:

    1. Joaquim Andrade & Vladimir Teles, 2006. "An empirical model of the Brazilian country risk -- an extension of the beta country risk model," Applied Economics, Taylor & Francis Journals, vol. 38(11), pages 1271-1278.
    2. Vladimir Teles & Joaquim Andrade, 2008. "Monetary policy and country risk," Applied Economics, Taylor & Francis Journals, vol. 40(15), pages 2021-2028.
    3. Goldberg, Cathy S. & Veitch, John M., 2010. "Country risk and financial integration--A case study of South Africa," Research in International Business and Finance, Elsevier, vol. 24(2), pages 138-145, June.
    4. Gazi Mainul Hassan & Hisham M. Al refai, 2012. "Can macroeconomic factors explain equity returns in the long run? The case of Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1029-1041, July.
    5. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
    6. repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS
    7. Piotr Wdowinski, 2004. "Determinants of Country Beta Risk in Poland," CESifo Working Paper Series 1120, CESifo.
    8. Chopra, Parvesh K. & Kanji, Gopal K., 2010. "On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(4), pages 479-515.
    9. Hooy Chee-Wooi & Robert D. Brooks, 2015. "The Components of Systematic Risk and Their Determinants in The Malaysian Equity Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 151-176.
    10. Verma, Rahul & Soydemir, Gokce, 2006. "Modeling country risk in Latin America: A country beta approach," Global Finance Journal, Elsevier, vol. 17(2), pages 192-213, December.
    11. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.

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