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Comovement in Anomalies between the Australian and US Equity Markets

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  • Mardy Chiah
  • Philip Gharghori
  • Angel Zhong

Abstract

This study examines the comovement between eight prominent Australian asset pricing anomalies and their corresponding US counterparts. It confirms the continued existence of these anomalies in Australia and finds that these anomalies do not co‐move with their US counterparts. Given the conflicting findings in prior research on the integration or segmentation of the Australian and US equity markets, this study adds to the body of evidence supporting segmentation.

Suggested Citation

  • Mardy Chiah & Philip Gharghori & Angel Zhong, 2020. "Comovement in Anomalies between the Australian and US Equity Markets," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 1005-1017, December.
  • Handle: RePEc:bla:irvfin:v:20:y:2020:i:4:p:1005-1017
    DOI: 10.1111/irfi.12249
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