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dc.contributor.authorHatemi-J, A
dc.contributor.authorRoca, ED
dc.contributor.editorChristopher Adcock
dc.date.accessioned2017-05-03T11:42:10Z
dc.date.available2017-05-03T11:42:10Z
dc.date.issued2004
dc.date.modified2008-10-02T05:27:42Z
dc.identifier.issn1351-847X
dc.identifier.doi10.1080/1351847032000168678
dc.identifier.urihttp://hdl.handle.net/10072/5339
dc.description.abstractThe paper examines the equity market price interaction between Australia and the European Union - represented by the UK, Germany and France - based on the Toda-Yamamoto causality test, which is bootstrapped with leveraged adjustments. A new information criterion is used to choose the optimal lag order. Weekly MSCI data covering the period 1988 to 2001 is used, divided into two subperiods to allow for a structural break arising from the ERM crisis of 1992. Results show that, during the period before the ERM crisis, no significant causal links exist between Australia and any of three EU countries. During the period after the ERM crisis, Australia also had no causal links with Germany and France but it had with the UK, with causality running from the UK to Australia but not vice-versa. Thus, Australian investors may find the German and French, but not the UK, equity markets, attractive venues for their international diversification. German and French, but not British, investors may also obtain the same benefit from the Australian equity market.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent132217 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.publisher.placeUnited Kingdom
dc.publisher.urihttp://www.tandf.co.uk/journals/titles/1351847X.asp
dc.relation.ispartofpagefrom475
dc.relation.ispartofpageto488
dc.relation.ispartofissue6
dc.relation.ispartofjournalEuropean Journal of Finance
dc.relation.ispartofvolume10
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3502
dc.titleAn Examination of the Equity Market Price Linkage Between Australia and the European Union Using Leveraged Bootstrap Method
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 2004 Taylor & Francis. This is the author-manuscript version of the paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal link for access to the definitive, published version.
gro.date.issued2004
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.


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