학술논문
Stock Market Interdependence: Evidence from Australia
Document Type
Academic Journal
Source
Pacific Accounting Review, 2003, Vol. 15, Issue 2, pp. 51-76.
Subject
Language
English
ISSN
0114-0582
Abstract
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.