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Cointegration of stock markets between New Zealand, Australia and the G7 Economies :searching for common trends under structural change

Narayan, Paresh Kumar and Smyth, Russell 2005, Cointegration of stock markets between New Zealand, Australia and the G7 Economies :searching for common trends under structural change, Australian economic papers, vol. 44, no. 3, pp. 231-247.

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Title Cointegration of stock markets between New Zealand, Australia and the G7 Economies :searching for common trends under structural change
Author(s) Narayan, Paresh Kumar
Smyth, Russell
Journal name Australian economic papers
Volume number 44
Issue number 3
Start page 231
End page 247
Total pages 16
Publisher Wiley - Blackwell
Place of publication Richmond, Vic.
Publication date 2005-09
ISSN 0004-900X
Summary This paper examines whether the New Zealand equity market is integrated with the equity markets of Australia and the G7 economies by applying both the Johansen (1988) and Gregory and Hansen (1996) approaches to cointegration. The Johansen (1988) test suggests that there is no long-run relationship between the New Zealand stock market and any of the other stock markets considered in the study. The Gregory and Hansen (1996) test finds that the New Zealand and United States stock market is cointegrated, but the New Zealand stock market is not cointegrated with the other stock markets in the study. This suggests that in order to avoid some of the risk through international portfolio diversification there is potential for investors to purchase shares in the New Zealand market and either the Australian market or most of the world’s leading equity markets.
Language eng
Field of Research 140210 International Economics and International Finance
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2005, Blackwell Publishing Ltd/University of Adelaide and Flinders University
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024725

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