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GDP, share prices and share returns: Australian and New Zealand evidence

Campbell, A. and Premachandra, I.M. and Bhabra, G.S. and Tang, Yih P. and Watson, J.R. (2008) GDP, share prices and share returns: Australian and New Zealand evidence. Journal of Money, Investment and Banking, 5 . pp. 28-56. ISSN 1450-288X

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With the aim of predicting share market returns, many empirical studies have delved into how financial and macroeconomic variables can be used to forecast return variability. The aim of this paper is to examine whether the ratio of aggregate share price to GDP can capture the variation of future returns on the aggregate share market within Australia and New Zealand. Using quarterly and semi-annual data for the period 1991-2003 for New Zealand and 1982-2006 for Australia, this study finds that the ratio of share price to GDP indeed captures a significant amount of the variation of returns on the New Zealand share market as well as the Australian share market; however results for Australian data do vary, depending on the sample period. Results in this paper generally provide support for the theory behind previous papers, specifically that of Rangvid (2006).

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Business and Economics (FBE) > School of Accounting and Finance
Depositing User: Yih Tang
Date Deposited: 13 Aug 2014 21:34
Last Modified: 13 Aug 2014 21:34

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