TY - JOUR
T1 - Equity market price interdependence based on bootstrap causality tests
T2 - Evidence from Australia and its major trading partners
AU - Hatemi-J, Abdulnasser
AU - Roca, Eduardo D.
PY - 2007/6
Y1 - 2007/6
N2 - We re-examine the issue of equity market price interdependence between Australia, on one hand and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2005) bootstrap Granger-causality tests with leveraged adjustments. We take into account the Asian Crisis and find that no causal linkages existed between Australia and these markets before and after the Crisis. These results imply that the transmission of information between the equity market of Australia and those of its trading partners is efficient. Given that the correlation between Australia and these markets are relatively low, these results give further confirmation that the latter group of markets can serve as good avenues for portfolio diversification by Australian investors.
AB - We re-examine the issue of equity market price interdependence between Australia, on one hand and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2005) bootstrap Granger-causality tests with leveraged adjustments. We take into account the Asian Crisis and find that no causal linkages existed between Australia and these markets before and after the Crisis. These results imply that the transmission of information between the equity market of Australia and those of its trading partners is efficient. Given that the correlation between Australia and these markets are relatively low, these results give further confirmation that the latter group of markets can serve as good avenues for portfolio diversification by Australian investors.
UR - http://www.scopus.com/inward/record.url?scp=34447321849&partnerID=8YFLogxK
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U2 - 10.1080/09603100600722144
DO - 10.1080/09603100600722144
M3 - Article
AN - SCOPUS:34447321849
SN - 0960-3107
VL - 17
SP - 827
EP - 835
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 10
ER -