Article1999

Short-term and long-term price linkages between the equity markets of Australia and its major trading partners

104 citations0/0 files storedApplied Financial Economics

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

This paper investigates the price linkages between the equity market of Australia and that of the US, UK, Japan, Hong Kong, Singapore, Taiwan, and Korea using weekly MSCI stock market data covering the period 1974–1995. Cointegration test using the Johansen (Journal of Economic Dynamics and Control, 12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics and Statistics, 52, 1990) procedure and Granger-causality tests based on error-correction models and standard vector autoregression models are conducted. No cointegration was found between Australia and the other markets. However, the Granger-causality and forecast variance decomposition analyses reveal that Australia is significantly linked with the US and the UK. The impulse response analyses further show that Australia responds to shocks from the US and the UK immediately during the first week and this response is completed with a period of four weeks.

Citations in this library

Stored only when both papers are in the corpus — 104 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1980Macroeconomics and Reality 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

Cited by

2003The interdependence of share markets in the developed economies of East Asia 2016Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia 2004Equity market integration in the Asia-Pacific region: A smooth transition analysis 2003Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises 2011Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis

Imported from OpenAlex (CC0) — nothing here is generated.