The Semi-Parametric Examination of Industry Risk: The Australian Evidence

27 Pages Posted: 16 Feb 2009

See all articles by Juan Yao

Juan Yao

University of Sydney - Business School - Finance Discipline; Financial Research Network (FIRN)

Date Written: February 16, 2009

Abstract

This paper examines the time variation form of the systematic risk measurement, betas, of Australian industry sectors. By using a semi-parametric approach, the variation of the systematic risk measurement, beta, is a combination of one stable parametric component and one varying non-parametric component. Two categories of industries are identified. The Energy, Material, Mining, Industrial, and Property Trust Industries have a generally increasing beta for most of the sample period, while the Consumer Discretionary, Financials Excluding Property Trust, IT and Telecommunications have a decreasing beta for the same period. The betas of Health and Utility industry are more stable than others. The variation of industry risk is linked with the market condition as well as the change of interest rates.

Keywords: Non-parametric approach, Time-varying beta, Industry Risk Analysis, Time-Varying Model

JEL Classification: G11, G12, G15, G32

Suggested Citation

Yao, Juan, The Semi-Parametric Examination of Industry Risk: The Australian Evidence (February 16, 2009). Available at SSRN: https://ssrn.com/abstract=1344295 or http://dx.doi.org/10.2139/ssrn.1344295

Juan Yao (Contact Author)

University of Sydney - Business School - Finance Discipline ( email )

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Sydney, NSW 2006
Australia
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Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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