Switching Between the Banking and Metals and Mining Sectors of Australia
Date
2009
Authors
Haque, T.
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Journal article
Citation
International Review of Finance, 2009; 9(4):387-403
Statement of Responsibility
Tariq Haque
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Abstract
<jats:title>ABSTRACT</jats:title><jats:p>Using the Australian banking and metals and mining industries as the categories in the Barberis and Shleifer model, this study demonstrates switching in the Australian stock market. Switching occurs when investors move into an industry by selling off stocks of an alternate industry, thus causing negative lagged cross‐correlation between those industries. Our results, based on daily returns, suggest that category‐level investor sentiment may drive observed switching patterns in the Australian stock market and not fundamental risk factors. Our results also show that switching does not necessarily only occur between value and growth stocks or large‐cap and small‐cap stocks.</jats:p>
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Journal compilation © 2010 International Review of Finance Ltd