- ACFS. (2016). AED: Methodology paper. The Australian Centre for Financial Studies. Melbourne: Monash Business School.
Paper not yet in RePEc: Add citation now
- Agmon, T. (1972). The relations among equity markets: A study of share price co‐movements in the United States, United Kingdom, Germany and Japan. The Journal of Finance, 27(4), 839–855.
Paper not yet in RePEc: Add citation now
- Apergis, N., & Miller, S. M. (2009). Do structural oil‐market shocks affect stock prices? Energy Economics, 31(4), 569–575.
Paper not yet in RePEc: Add citation now
Bhuiyan, E. M., & Chowdhury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, 77, 62–74.
Campbell, G., Quinn, W., Turner, J. D., & Ye, Q. (2018). What moved share prices in the nineteenth‐century London stock market? The Economic History Review, 71(1), 157–189.
Canova, F., & De Nicolo, G. (1995). Stock returns and real activity: A structural approach. European Economic Review, 39(5), 981–1015. https://doi.org/10.1016/0014-2921(95)00017-8.
Chaudhuri, K., & Smiles, S. (2004). Stock market and aggregate economic activity: Evidence from Australia. Applied Financial Economics, 14(2), 121–129.
- Conrad, C., & Loch, K. (2015). Anticipating long‐term stock market volatility. Journal of Applied Econometrics, 30(7), 1090–1114. https://doi.org/10.1002/JAE.2404.
Paper not yet in RePEc: Add citation now
- Deloitte. (2019). Dynamics of the Australian Superannuation System. The next 20 years to 2038.
Paper not yet in RePEc: Add citation now
Dickinson, D. G. (2000). Stock market integration and macroeconomic fundamentals: An empirical analysis, 1980‐95. Applied Financial Economics, 10(3), 261–276. https://doi.org/10.1080/096031000331671.
- Durand, R. B., Kee, K. S., & Watson, I. (2001). Who moved Asian‐pacific stock markets? A further consideration of the impact of the US and Japan. Australian Journal of Management, 26(2), 125–145. https://doi.org/10.1177/031289620102600203.
Paper not yet in RePEc: Add citation now
Durand, R. B., Limkriangkrai, M., & Smith, G. (2006). In America's thrall: The effects of the US market and US security characteristics on Australian stock returns. Accounting and Finance, 46(4), 577–604. https://doi.org/10.1111/j.1467-629X.2006.00184.x.
- Erdugan, R. (2012). The effect of economic factors on the performance of the Australian stock market.
Paper not yet in RePEc: Add citation now
Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American Economic Review, 71(4), 545–565.
- Fang, T., Lee, T. H., & Su, Z. (2020). Predicting the long‐term stock market volatility: A GARCH‐MIDAS model with variable selection. Journal of Empirical Finance, 58, 36–49. https://doi.org/10.1016/J.JEMPFIN.2020.05.007.
Paper not yet in RePEc: Add citation now
Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. Review of Financial Studies, 15(3), 751–782. https://doi.org/10.1093/rfs/15.3.751.
- French, J. (2017). Macroeconomic forces and arbitrage pricing theory. Journal of Comparative Asian Development, 16(1), 1–20.
Paper not yet in RePEc: Add citation now
Fromentin, V., Lorraine, M., Ariane, C., & Alshammari, T. (2022). Time‐varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection? Finance Research Letters, 49, 103073.
Gavin, M. (1989). The stock market and exchange rate dynamics. Journal of International Money and Finance, 8(2), 181–200.
Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, 38(1), 1–33. https://doi.org/10.1111/J.1540-6261.1983.TB03623.X.
Gjerde, Ø., & Sættem, F. (1999). Causal relations among stock returns and macroeconomic variables in a small, open economy. Journal of International Financial Markets, Institutions and Money, 9(1), 61–74. https://doi.org/10.1016/S1042-4431(98)00036-5.
- Hashmi, S. M., & Chang, B. H. (2021). Asymmetric effect of macroeconomic variables on the emerging stock indices: A quantile ARDL approach. International Journal of Finance & Economics, 28, 1006.
Paper not yet in RePEc: Add citation now
Humpe, A., & Macmillan, P. (2009). Can macroeconomic variables explain long‐term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19(2), 111–119.
Humpe, A., & McMillan, D. G. (2020). Macroeconomic variables and long‐term stock market performance. A panel ARDL cointegration approach for G7 countries. Cogent Economics and Finance, 8(1), 1–7. https://doi.org/10.1080/23322039.2020.1816257.
- Jaffe, J. F., & Mandelker, G. (1976). The “Fisher effect” for risky assets: An empirical investigation. The Journal of Finance, 31(2), 447–458.
Paper not yet in RePEc: Add citation now
Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The Journal of Finance, 51(2), 463–491.
Kasa, K. (1992). Common stochastic trends in international stock markets. Journal of Monetary Economics, 29, 95–124.
Kearney, C., & Daly, K. (1998). The causes of stock market volatility in Australia. Applied Financial Economics, 8(6), 597–605.
Kearns, P., & Pagan, A. R. (1993). Australian stock market volatility: 1875–1987*. Economic Record, 69(2), 163–178. https://doi.org/10.1111/j.1475-4932.1993.tb01811.x.
- Kortian, T., & O'Regan, J. (1996). Australian financial market volatility: An exploration of cross‐country and cross‐market linkages. RBA Working Paper series, Macro‐Fina.
Paper not yet in RePEc: Add citation now
Lee, B. S. (1992). Causal relations among stock returns, interest rates, real activity, and inflation. The Journal of Finance, 47(4), 1591–1603.
- Lin, C. Y., Rahman, H., & Yung, K. (2008). Investor sentiment and REIT returns. The Journal of Real Estate Finance and Economics, 39(4), 450–471. https://doi.org/10.1007/S11146-008-9115-5.
Paper not yet in RePEc: Add citation now
Maio, P., & Philip, D. (2015). Macro variables and the components of stock returns. Journal of Empirical Finance, 33, 287–308. https://doi.org/10.1016/j.jempfin.2015.03.004.
Malkiel, B. G. (2003). The efficient market hypothesis and its. Journal of Economic Perspectives, 17(1), 59–82. https://doi.org/10.1257/089533003321164958.
Mathews, T. (2019). A history of Australian equities (RDP 2019‐04). Australia: Reserve Bank of Australia https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-04.pdf.
- Mitchell, B. R. (2007). International historical statistics: Africa, Asia & Oceania 1750–2005 (5th ed.). Basingstoke: Palgrave Macmillan.
Paper not yet in RePEc: Add citation now
Nelson, C. R. (1976). Inflation and rates of return on common stocks. The Journal of Finance, 31(2), 471–483.
Pearce, D. K., & Roley, V. V. (1983). The reaction of stock prices to unanticipated changes in money: A note. The Journal of Finance, 38(4), 1323–1333. https://doi.org/10.1111/J.1540-6261.1983.TB02303.X.
Pearce, D. K., & Roley, V. V. (1988). Firm characteristics, unanticipated inflation, and stock returns. The Journal of Finance, 43(4), 965–981. https://doi.org/10.1111/J.1540-6261.1988.TB02615.X.
- Peiró, A. (2016). Stock prices and macroeconomic factors: Some European evidence. International Review of Economics and Finance, 41, 287–294. https://doi.org/10.1016/j.iref.2015.08.004.
Paper not yet in RePEc: Add citation now
- Petersen, P. P., & Fabozzi, F. J. (2002). Traditional fundamental analysis III: Earnings analysis, dividends, and dividend discount models. In F. J. Fabozzi & H. M. Markowitz (Eds.), The theory and practice of investment management (Ch. 11, p. 298). New Jersey: John Wiley & Sons.
Paper not yet in RePEc: Add citation now
Phylaktis, K., & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24(7), 1031–1053.
- Ragunathan, V., Faff, R. W., & Brooks, R. D. (1999). Correlations, business cycles and integration. Journal of International Financial Markets, Institutions and Money, 9, 75–95.
Paper not yet in RePEc: Add citation now
Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449–469.
- Shahzad, S. J. H., Hurley, D., & Ferrer, R. (2020). U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach. International Journal of Finance and Economics, 26(3), 1–19. https://doi.org/10.1002/ijfe.1976.
Paper not yet in RePEc: Add citation now
- Simon, D. P. (2003). The Nasdaq volatility index during and after the bubble. The Journal of Derivatives, 11(2), 9–24.
Paper not yet in RePEc: Add citation now
Sousa, R. M., Vivian, A., & Wohar, M. E. (2016). Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors. International Review of Economics and Finance, 41, 122–143. https://doi.org/10.1016/j.iref.2015.09.001.
- Szczygielski, J. J., Brümmer, L. M., Wolmarans, H. P., & Zaremba, A. (2020). Are macroeconomic factors adequate proxies for systematic influences in stock returns? A South African perspective. Investment Analysts Journal, 49(1), 34–52. https://doi.org/10.1080/10293523.2020.1723854.
Paper not yet in RePEc: Add citation now
- Vamplew, W. (Ed.). (1987). Australians, historical statistics (Vol. 10). New South Wales: Fairfax, Syme & Weldon Associates.
Paper not yet in RePEc: Add citation now