Switching between the Banking and Metals and Mining Sectors of Australia

17 Pages Posted: 8 Dec 2009

See all articles by Tariq H. Haque

Tariq H. Haque

University of Adelaide; Financial Research Network (FIRN)


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.

Suggested Citation

Haque, Tariq H., Switching between the Banking and Metals and Mining Sectors of Australia. International Review of Finance, Vol. 9, Issue 4, pp. 387-403, December 2009. Available at SSRN: https://ssrn.com/abstract=1517466 or http://dx.doi.org/10.1111/j.1468-2443.2009.01097.x

Tariq H. Haque (Contact Author)

University of Adelaide ( email )

10 Pulteney St, Adelaide Busines School
Adelaide, South Australia 5005

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane

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