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The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia?

Author

Listed:
  • Patricia Fraser
  • Lynn McAlevey
  • Matthew Tayler

Abstract

Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the Australian market relative to those in other Pacific-Basin markets. This has implications for a stock market merger between these two countries as well as a possible monetary union.

Suggested Citation

  • Patricia Fraser & Lynn McAlevey & Matthew Tayler, 2007. "The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(6), pages 451-462.
    • Handle: RePEc:taf:apfiec:v:18:y:2007:i:6:p:451-462
    DOI: 10.1080/09603100600993745
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    References listed on IDEAS

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    1. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
    2. Haluk Akdogan, 1995. "The Integration of International Capital Markets," Books, Edward Elgar Publishing, number 6, August.
    3. Dean Scrimgeour, 2001. "Exchange rate volatility and Currency Union: Some theory and New Zealand evidence," Reserve Bank of New Zealand Discussion Paper Series DP2001/04, Reserve Bank of New Zealand.
    4. Andrew Coleman, 1999. "Economic Integration and Monetary Union," Treasury Working Paper Series 99/06, New Zealand Treasury.
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