Switching Between the Banking and Metals and Mining Sectors of Australia

Simple item page
dc.contributor.authorHaque, T.
dc.date.issued2009
dc.descriptionJournal compilation © 2010 International Review of Finance Ltd
dc.description.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>
dc.description.statementofresponsibilityTariq Haque
dc.identifier.citationInternational Review of Finance, 2009; 9(4):387-403
dc.identifier.doi10.1111/j.1468-2443.2009.01097.x
dc.identifier.issn1369-412X
dc.identifier.issn1369-412X
dc.identifier.orcidHaque, T. [0000-0003-2988-2556]
dc.identifier.urihttp://hdl.handle.net/2440/56915
dc.language.isoen
dc.publisherWiley-Blackwell
dc.source.urihttps://doi.org/10.1111/j.1468-2443.2009.01097.x
dc.titleSwitching Between the Banking and Metals and Mining Sectors of Australia
dc.typeJournal article
pubs.publication-statusPublished

Files

Collections

Business School publications