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Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?

Listed author(s):
  • Mardi Dungey

    (Research School of Pacific and Asian Studies, Australian National University, Canberra, ACT 0200.)

  • Renee Fry

    (Research School of Pacific and Asian Studies, Australian National University, Canberra, ACT 0200.)

  • Vance L. Martin

    (Department of Economics, The University of Melbourne, Parkville, Victoria 3052.)

The linkages between daily Asian and Australian equity market returns over the period 1995–2001 are investigated within the framework of a latent factor model. Transmission mechanisms arising from both market interdependence and contagion are studied. The empirical results reveal that co-movements in Asian and Australian equity markets are largely determined by interdependent linkages arising from common systemic factors. There is little significant evidence of contagion, although negative shocks have more effect than positive ones.

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Article provided by Australian School of Business in its journal Australian Journal of Management.

Volume (Year): 28 (2003)
Issue (Month): 2 (September)
Pages: 157-182

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Handle: RePEc:sae:ausman:v:28:y:2003:i:2:p:157-182
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