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

Patricia Fraser, Lynn McAlevey and Matthew Tayler

Applied Financial Economics, 2008, vol. 18, issue 6, pages 451-462

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.

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