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]
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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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