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  • Stock Market Interdependence: Evidence from Australia

    Author(s)
    Chong, L
    Drew, ME
    Veeraraghavan, M
    Griffith University Author(s)
    Drew, Michael E.
    Year published
    2003
    Metadata
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    Abstract
    This study examines the relationship between Australia's stock market and the five 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 cointegration 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 Granger-cause the Australian market.This study examines the relationship between Australia's stock market and the five 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 cointegration 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 Granger-cause the Australian market.
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    Journal Title
    Pacific Accounting Review
    Volume
    15
    Issue
    2
    DOI
    https://doi.org/10.1108/eb037974
    Subject
    Accounting, auditing and accountability
    Accounting, auditing and accountability not elsewhere classified
    Publication URI
    http://hdl.handle.net/10072/32686
    Collection
    • Journal articles

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