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

journal contribution
posted on 2004-10-01, 00:00 authored by Paresh Narayan, R Smyth
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.

History

Journal

Applied financial economics

Volume

14

Issue

14

Pagination

991 - 1004

Publisher

Routledge

Location

London, England

ISSN

0960-3107

eISSN

1466-4305

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

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