Equity Market Price Interdependence Between Australia and the Asian Tigers
Author(s)
Roca, Eduardo Dacillo
Buncic, Daniel
Griffith University Author(s)
Year published
2002
Metadata
Show full item recordAbstract
The study investigates the extent and structure of long-term and short-term price interaction between the equity markets of Australia and the Asian Tigers - Hong Kong, Korea, Singapore and Taiwan, taking into account the Asian financial crisis. It applies cointegration and generalised variance decomposition and impulse response analyses using MSCI price index data. No significant long-term relationship between Australia and the Asian Tigers is found both before and after the Asian crisis. No significant short-term relationship is also found during the period before the crisis. However, after the crisis, the study finds ...
View more >The study investigates the extent and structure of long-term and short-term price interaction between the equity markets of Australia and the Asian Tigers - Hong Kong, Korea, Singapore and Taiwan, taking into account the Asian financial crisis. It applies cointegration and generalised variance decomposition and impulse response analyses using MSCI price index data. No significant long-term relationship between Australia and the Asian Tigers is found both before and after the Asian crisis. No significant short-term relationship is also found during the period before the crisis. However, after the crisis, the study finds Australia to be significantly interdependent with Hong Kong and Singapore. Keywords: equity market interdependence; Asian Tigers; cointegration; variance decomposition; impulse response; innovation accounting.
View less >
View more >The study investigates the extent and structure of long-term and short-term price interaction between the equity markets of Australia and the Asian Tigers - Hong Kong, Korea, Singapore and Taiwan, taking into account the Asian financial crisis. It applies cointegration and generalised variance decomposition and impulse response analyses using MSCI price index data. No significant long-term relationship between Australia and the Asian Tigers is found both before and after the Asian crisis. No significant short-term relationship is also found during the period before the crisis. However, after the crisis, the study finds Australia to be significantly interdependent with Hong Kong and Singapore. Keywords: equity market interdependence; Asian Tigers; cointegration; variance decomposition; impulse response; innovation accounting.
View less >
Journal Title
International Journal of Business Studies
Volume
10
Issue
2
Subject
Business and Management