The Semi-Parametric Examination of Industry Risk: The Australian Evidence
27 Pages Posted: 16 Feb 2009
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: Suggested Citation
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