Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?

Mardi Dungey, Renee Fry-McKibbin and Vance Martin

Australian Journal of Management, 2003, vol. 28, issue 2, 157-182

Abstract: The linkages between daily Asian and Australian equity market returns over the period 1995–2001 are investigated within the framework of a latent factor model. Transmission mechanisms arising from both market interdependence and contagion are studied. The empirical results reveal that co-movements in Asian and Australian equity markets are largely determined by interdependent linkages arising from common systemic factors. There is little significant evidence of contagion, although negative shocks have more effect than positive ones.

Keywords: CONTAGION; INTERDEPENDENCE; FINANCIAL CRISES; FACTOR MODELS; INDIRECT ESTIMATION (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289620302800203 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:28:y:2003:i:2:p:157-182

DOI: 10.1177/031289620302800203

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().