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Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106

Drew, Michael E. & Chong, Leonard (2002) Stock Market Interdependence: Evidence from Australia: Discussion Paper No. 106. [Working Paper]

Abstract

largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian investor. Further analysis, conducted in the VAR framework using the Johansen co-integration method, found that the Australian market has short and long run linkages with the United States, while tests with other markets found little evidence of interdependence. Moreover, only the US market was found to Grangercause the Australian market

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ID Code: 530
Item Type: Working Paper
Additional URLs:
Keywords: Interdependence, price linkages, internationalisation
ISSN: 1324-5910
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2002 (Please consult author)
Deposited On: 09 Nov 2004
Last Modified: 02 Feb 2012 19:44

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