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dc.contributor.authorParamati, Sudharshan Reddy RR.
dc.contributor.authorGupta, Rakesh
dc.contributor.authorRoca, Eduardo
dc.contributor.editorNeupane, Suman
dc.contributor.editorRoca, Eduardo
dc.date.accessioned2020-01-16T08:11:11Z
dc.date.available2020-01-16T08:11:11Z
dc.date.issued2015
dc.identifier.issn1836-8123
dc.identifier.otherRePEc:gri:fpaper:finance:201506
dc.identifier.urihttp://hdl.handle.net/10072/390383
dc.description.abstractWe investigate the extent and manner of stock market interdependence between Australia and its trading partners and examine whether this is affected by trade intensity. Based on trade intensity, we classify Australia's trading partners into major, medium and minor. We hypothesise that markets with greater (lower) trade intensity will be more (less) interdependent with Australia. We perform correlation (unconditional and conditional) analyses between Australia and its trading partners. Results indicate that most of the markets which are highly correlated with Australia are its major trading partners. We conduct panel regression analysis to investigate whether trade intensity has any impact on the stock market correlations between Australia and its trading partners. The results show that trade intensity significantly and positively affect the correlations of Australia with its major trading partners. Thus, the results confirm our hypothesis that trade intensity drives stock market interdependence between Australia and its trading partners.
dc.format.extent35 pages
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane, Australia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto35
dc.subject.keywordsG15 - International Financial Markets
dc.subject.keywordsG01 - Financial Crises
dc.subject.keywordsC32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
dc.subject.keywordsBilateral trade linkages
dc.subject.keywordsstock market interdependence
dc.subject.keywordsAGDCC GARCH models
dc.subject.keywordstime series models
dc.title2015-06: Stock market interdependence between Australia and its trading partners: does trade intensity matter? (Working paper)
dc.typeReport
dc.type.descriptionDiscussion Paper
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2015
gro.hasfulltextFull Text
gro.griffith.authorGupta, Rakesh
gro.griffith.authorRoca, Eduardo D.


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