We examine the equity market price interdependence between Australia, on one hand, and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged adjustments. We cover the period January 1, 1993 to September 10, 2001 taking into account the Asian financial crisis in 1997. We find that for both periods - before and after the Asian crisis, no causal linkages existed between Australia and these markets. These results imply that the transmission of information between the equity market of Australia and those of its major trading partners is efficient. Given that the correlations between Australia and these markets are relatively low, these results give further confirmation that the latter group of markets can serve as good avenues for portfolio diversification by Australian investors
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.