Equity market price interdependence between Australia and the Asian Tigers
Journal
International Journal of Business Studies
ISSN
1320-7156
Type
journal article
Date Issued
2002-12
Author(s)
Abstract
The study investigates the extent and structure of long-term and short-term price interaction between the equity markets of Australia and the Asian Tigers - Hong Kong, Korea, Singapore and Taiwan, taking into account the Asian financial crisis. It applies cointegration and generalised variance decomposition and impulse response analyses using MSCI price index data. No significant long-term relationship between Australia and the Asian Tigers is found both before and after the Asian crisis. No significant short-term relationship is also found during the period before the crisis. However, after the crisis, the study finds Australia to be significantly interdependent with Hong Kong and Singapore.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Edith Cowan University
Volume
10
Number
2
Start page
61
End page
75
Pages
15
Subject(s)
Division(s)
Eprints ID
184809