IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://aum.sagepub.com/content/28/2/157.abstract
Download Restriction: no

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

as
in new window

Handle: RePEc:sae:ausman:v:28:y:2003:i:2:p:157-182
Contact details of provider: Web page: http://www.agsm.edu.au

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:sae:ausman:v:28:y:2003:i:2:p:157-182. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (SAGE Publications)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.