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Time Stationarity of Systematic Risk: Some Australian Evidence

Author

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  • Faff, Robert W.
  • Lee, John H. H.
  • Fry, Tim R. L.

Abstract

While the evidence on time-varying systematic risk of U.S. assets is well documented in the literature, little work has been conducted in the Australian equity market. This paper intends to fill this gap in the literature by employing an alternative testing procedure to those used in previous studies. Moreover, a new methodology of determining the p-value of a test statistic is applied. The results of our study suggest that there is evidence of time-varying systematic risk for both individual assets and portfolios in Australia.

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Handle: RePEc:ags:monebs:267123
DOI: 10.22004/ag.econ.267123
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