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Stock Market Interdependence: Evidence from Australia

Leonard Chong (Bachelor of Business (Honours) Student at the School of Economics and Finance, Queensland University of Technology, Brisbane, Australia.)
Michael Drew (Senior Lecturer at the School of Economics and Finance, Queensland University of Technology, Brisbane, Australia.)
Madhu Veeraraghavan (Senior Lecturer at the Department of Accounting and Finance, The University of Auckland Business School, Auckland, New Zealand.)

Pacific Accounting Review

ISSN: 0114-0582

Article publication date: 1 February 2003

277

Abstract

This study examines the relationship between Australia's stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian investor. Further analysis, conducted in the VAR framework using the Johansen cointegration method, found that the Australian market has short and long run linkages with the United States, while tests with other markets found little evidence of interdependence. Moreover, only the US market was found to Granger‐cause the Australian market.

Citation

Chong, L., Drew, M. and Veeraraghavan, M. (2003), "Stock Market Interdependence: Evidence from Australia", Pacific Accounting Review, Vol. 15 No. 2, pp. 51-76. https://doi.org/10.1108/eb037974

Publisher

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MCB UP Ltd

Copyright © 2003, MCB UP Limited

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