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Stock Price Fluctuations in Australia: The Influence of japanese and U.S. Markets

Lim, C.G., Paul McNelis () and P.D.

No 505, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper examines the influence of shocks in the Japanese Nikkei Index and in the U.S. S&P Index on the Australian All-Ordinaries Index. W present results from the application of three models - an autoressive linear model, a GARCH-M model and a non-linear neural network model.

Keywords: STOCK MARKET; LINEAR MODELS (search for similar items in EconPapers)
JEL-codes: G10 G15 G18 (search for similar items in EconPapers)
Date: 1996
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