TY - JOUR
T1 - Stock market interdependence
T2 - evidence from Australia
AU - Chong, Leonard
AU - Drew, Michael E.
AU - Veeraraghavan, Madhu
N1 - Publisher Copyright:
© Emerald Backfiles 2007.
PY - 2003/2/1
Y1 - 2003/2/1
N2 - This study examines the relationship between Australia’s stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian investor. Further analysis, conducted in the VAR framework using the Johansen cointegration method, found that the Australian market has short and long run linkages with the United States, while tests with other markets found little evidence of interdependence. Moreover, only the US market was found to Granger-cause the Australian market.
AB - This study examines the relationship between Australia’s stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian investor. Further analysis, conducted in the VAR framework using the Johansen cointegration method, found that the Australian market has short and long run linkages with the United States, while tests with other markets found little evidence of interdependence. Moreover, only the US market was found to Granger-cause the Australian market.
UR - http://www.scopus.com/inward/record.url?scp=85015510705&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85015510705&partnerID=8YFLogxK
U2 - 10.1108/eb037974
DO - 10.1108/eb037974
M3 - Article
AN - SCOPUS:85015510705
SN - 0114-0582
VL - 15
SP - 51
EP - 76
JO - Pacific Accounting Review
JF - Pacific Accounting Review
IS - 2
ER -