Macroeconomic Factors and Bank and Finance Stock Prices: The Australian Experience

Satya Paul; Girijasankar Mallik

doi:10.1016/S0313-5926(03)50002-9

Macroeconomic Factors and Bank and Finance Stock Prices: The Australian Experience

Satya Paul, Girijasankar Mallik^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

This paper investigates the relationship between macroeconomic factors and stock prices in the banking and finance sector in Australia using quarterly data for the period 1980Q1-99Q1. The research methodology consists of conducting cointegration tests and estimating an error correction model for examining the long run relationship between bank and finance stock prices and macroeconomic variables such as inflation, interest rate and real GDP growth. The study reveals that the bank and finance stock prices are cointegrated with all three macroeconomic variables. The interest rate has a negative effect, whereas GDP growth has a positive effect on stock prices, Inflation has no significant effect on stock prices, which supports Fama's proxy hypothesis.

Original language	English
Pages (from-to)	23-30
Number of pages	8
Journal	Economic Analysis and Policy
Volume	33
Issue number	1
DOIs	https://doi.org/10.1016/S0313-5926(03)50002-9
Publication status	Published - 2003
Externally published	Yes

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Macroeconomic Factors and Bank and Finance Stock Prices: The Australian Experience

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