Modelling the linkages between the Australian and G7 stock markets : common stochastic trends and regime shifts

Narayan, Paresh Kumar and Smyth, Russell 2004, Modelling the linkages between the Australian and G7 stock markets : common stochastic trends and regime shifts, Applied financial economics, vol. 14, no. 14, pp. 991-1004.

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Title Modelling the linkages between the Australian and G7 stock markets : common stochastic trends and regime shifts
Author(s) Narayan, Paresh Kumar
Smyth, Russell
Journal name Applied financial economics
Volume number 14
Issue number 14
Start page 991
End page 1004
Total pages 14
Publisher Routledge
Place of publication London, England
Publication date 2004-10
ISSN 0960-3107
1466-4305
Summary This paper examines whether the Australian equity market is integrated with the equity markets of the G7 economies by applying both the Johansen (Statistical analysis of conintegrating vectors, Journal of Economic Dynamics and Control, 12, 231-54, 1988) and Gregory and Hansen (Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, 70, 99-126, 1996) approaches to cointegration. Some evidence of a pairwise long-run relationship between the Australian stock market and the stock markets of Canada, Italy, Japan and the United Kingdom is found, but the Australian equity market is not pairwise cointegrated with the equity markets of France, Germany or the USA.
Language eng
Field of Research 150203 Financial Institutions (incl Banking)
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024716

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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