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Australia and the three little dragons: are their equity markets interdependent?

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Author Info

  • Eduardo Roca
  • E. Antony Selvanathan

Abstract

This paper analyses price linkages between the equity market of Australia and those of Hong Kong, Singapore and Taiwan using cointegration, Granger-causality, variance decomposition and impulse response analyses based on MSCI database covering the period 1975-1995. The results show that the Australian market is not significantly linked with any of these markets.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850150504612&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 8 (2001)
Issue (Month): 3 ()
Pages: 203-207

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Handle: RePEc:taf:apeclt:v:8:y:2001:i:3:p:203-207

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Cited by:
  1. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, EconWPA.
  2. Ahmed, Walid M.A., 2008. "Cointegration and dynamic linkages of international stock markets: an emerging market perspective," MPRA Paper 26986, University Library of Munich, Germany.
  3. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
  4. Chan Leong, Su & Felmingham, Bruce, 2003. "The interdependence of share markets in the developed economies of East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 219-237, April.
  5. Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology.

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