Stock Market Interdependence: Evidence from Australia
Author(s)
Chong, L
Drew, ME
Veeraraghavan, M
Griffith University Author(s)
Year published
2003
Metadata
Show full item recordAbstract
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
Subject
Accounting, auditing and accountability
Accounting, auditing and accountability not elsewhere classified