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)
Pages: 23 pages
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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:mlb:wpaper:505

Access Statistics for this paper

More papers in Department of Economics - Working Papers Series from The University of Melbourne Department of Economics, The University of Melbourne, 4th Floor, FBE Building, Level 4, 111 Barry Street. Victoria, 3010, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Dandapani Lokanathan ().