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Essays in Empirical Asset Pricing

McKinnon, Kate


This thesis is a collection of three self-contained chapters applying empirical methods to explore international asset return comovement, the nature of cross-asset market spillovers, and the drivers of asset prices. The first chapter explores the extent of bidirectional linkages between currency returns and country-specific commodity price index returns for a set of large commodity exporting countries comprising Australia, Canada and New Zealand. Results show that a large portion of variation...[Show more]

CollectionsOpen Access Theses
Date published: 2020
Type: Thesis (PhD)
DOI: 10.25911/5eccf07edbc4d


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