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An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
University of Skövde, School of Technology and Society.
School of Accounting, Banking and Finance , Griffith University , Nathan, Queensland, Australia.
2004 (English)In: The European Journal of Finance, ISSN 1466-4364, Vol. 10, no 6, 475-488 p.Article in journal (Refereed) Published
Abstract [en]

The paper examines the equity market price interaction between Australia and the European Union - represented by the UK, Germany and France - based on the Toda-Yamamoto causality test, which is bootstrapped with leveraged adjustments. A new information criterion is used to choose the optimal lag order. Weekly MSCI data covering the period 1988 to 2001 is used, divided into two subperiods to allow for a structural break arising from the ERM crisis of 1992. Results show that, during the period before the ERM crisis, no significant causal links exist between Australia and any of three EU countries. During the period after the ERM crisis, Australia also had no causal links with Germany and France but it had with the UK, with causality running from the UK to Australia but not vice-versa. Thus, Australian investors may find the German and French, but not the UK, equity markets, attractive venues for their international diversification. German and French, but not British, investors may also obtain the same benefit from the Australian equity market.

Place, publisher, year, edition, pages
Routledge, 2004. Vol. 10, no 6, 475-488 p.
Research subject
Humanities and Social sciences
Identifiers
URN: urn:nbn:se:his:diva-1559DOI: 10.1080/1351847032000168678Scopus ID: 2-s2.0-11344249840OAI: oai:DiVA.org:his-1559DiVA: diva2:31835
Available from: 2007-10-08 Created: 2007-10-08 Last updated: 2014-08-21Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf