IDEAS home Printed from https://ideas.repec.org/p/gri/fpaper/finance201506.html
   My bibliography  Save this paper

Stock market interdependence between Australia and its trading partners: does trade intensity matter?

Author

Listed:
  • Sudharshan Reddy Paramati
  • Rakesh Gupta
  • Eduardo Roca

Abstract

We investigate the extent and manner of stock market interdependence between Australia and its trading partners and examine whether this is affected by trade intensity. Based on trade intensity, we classify Australia's trading partners into major, medium and minor partners. We hypothesize that markets with greater (lower) trade intensity will be more (less) interdependent with Australia. We perform correlation (unconditional and conditional) analyses between Australia and its trading partners. Our results indicate that most of the markets that are highly correlated with Australia are its major trading partners. We conduct panel regression analysis to investigate whether trade intensity has any impact on the stock market correlations between Australia and its trading partners. The results show that trade intensity significantly and positively affect the correlations of Australia with its major trading partners. Thus, the results confirm our hypothesis that trade intensity drives stock market interdependence between Australia and its trading partners.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Sudharshan Reddy Paramati & Rakesh Gupta & Eduardo Roca, 2015. "Stock market interdependence between Australia and its trading partners: does trade intensity matter?," Discussion Papers in Finance finance:201506, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:fpaper:finance:201506
    as

    Download full text from publisher

    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390383/2015-06-stock-market-interdependence-between-australia-and-its-trading-partners.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Khalid Ahmed & Agha Jahanzeb, 2021. "Does financial development spur environmental and energy‐related innovation in Brazil?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1706-1723, April.
    2. Ijaz Younis & Cheng Longsheng & Muhammad Farhan Basheer & Ahmed Shafique Joyo, 2020. "Stock market comovements among Asian emerging economies: A wavelet-based approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-23, October.
    3. Lim, Siok Jin, 2020. "Portfolio diversification opportunities for U.S. Islamic investors with its trading partners when the world catches a cold: A Multivariate-GARCH and wavelet approach," MPRA Paper 103295, University Library of Munich, Germany.
    4. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2022. "Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    5. Sudharshan Reddy Paramati & Rakesh Gupta & An Hui, 2016. "Trade and Investment Linkages and Stock Market Long-Run Relationship," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 149-169, June.
    6. Song, Yuegang & Huang, Ruixian & Paramati, Sudharshan Reddy & Zakari, Abdulrasheed, 2021. "Does economic integration lead to financial market integration in the Asian region?," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 366-377.
    7. Lee, Jinsoo & Yu, Bok-Keun, 2018. "What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 40(1), pages 45-66.
    8. Song, Yuegang & Paramati, Sudharshan Reddy & Ummalla, Mallesh & Zakari, Abdulrasheed & Kummitha, Harshavardhan Reddy, 2021. "The effect of remittances and FDI inflows on income distribution in developing economies," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 255-267.
    9. Reza Tajaddini & Hassan F. Gholipour, 2023. "Trade dependence and stock market reaction to the Russia‐Ukraine war," International Review of Finance, International Review of Finance Ltd., vol. 23(3), pages 680-691, September.
    10. Huang, Ruixian & Kale, Seenaiah & Paramati, Sudharshan Reddy & Taghizadeh-Hesary, Farhad, 2021. "The nexus between financial inclusion and economic development: Comparison of old and new EU member countries," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 1-15.
    11. David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022. "On the transmission mechanism of Asia‐Pacific yield curve characteristics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 473-488, January.
    12. Lim, Siok Jin & Masih, Mansur, 2017. "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper 79752, University Library of Munich, Germany.
    13. Sudharshan Reddy Paramati & Eduardo Roca & Rakesh Gupta, 2016. "Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia," Applied Economics, Taylor & Francis Journals, vol. 48(44), pages 4210-4226, September.

    More about this item

    Keywords

    Bilateral trade linkages; stock market interdependence; AGDCC GARCH models; time series models;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gri:fpaper:finance:201506. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr. Alexandr Akimov (email available below). General contact details of provider: https://edirc.repec.org/data/segriau.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.