TIME STATIONARITY OF SYSTEMATIC RISK: SOME AUSTRALIAN EVIDENCE
用新方法检验澳大利亚股票市场中系统性风险是否随时间变化，发现个股和组合的风险均非平稳，填补了该市场的研究空白。
While the evidence on time-varying systematic risk of U.S. assets is well documented in the literature, little work has been conducted in the Australian equity market. This paper intends to fill this gap in the literature by employing an alternative testing procedure to those used in previous studies. Moreover, a new methodology of determining the p-value of a test statistic is applied. The results of our study suggest that there is evidence of time-varying systematic risk for both individual assets and portfolios in Australia.