The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners

Eduardo Roca and Abdulnasser Hatemi-J

No 99, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: We examine the equity market price interdependence between Australia, on one hand, and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged adjustments. We cover the period January 1, 1993 to September 10, 2001 taking into account the Asian financial crisis in 1997. We find that for both periods - before and after the Asian crisis, no causal linkages existed between Australia and these markets. These results imply that the transmission of information between the equity market of Australia and those of its major trading partners is efficient. Given that the correlations between Australia and these markets are relatively low, these results give further confirmation that the latter group of markets can serve as good avenues for portfolio diversification by Australian investors

Keywords: Equity Market Integration; Leveraged Bootstrap; Causality; Australia (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:ecm:ausm04:99

Access Statistics for this paper

More papers in Econometric Society 2004 Australasian Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().