Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach

Zhuo Qiao, Yuming Li and Wing-Keung Wong

Applied Financial Economics, 2011, vol. 21, issue 24, 1831-1841

Abstract: Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann et al ., 2003), this article investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two different regimes in the three stock markets. We find that the correlations among the three markets are significantly higher in a bear regime than in a bull regime. In addition, the responses of each of the three markets to shocks in the other two markets are stronger and more persistent in the bear regime than in the bull regime. Finally, our findings imply that for the New Zealand stock market, the Australian stock market is more influential than the US stock market, and for the Australian stock market, the US stock market is more influential than the New Zealand stock market.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2011.595678 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:21:y:2011:i:24:p:1831-1841

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603107.2011.595678

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().