English, Article edition: LONG-TERM AND SHORT-TERM EQUITY MARKET PRICE INTERACTIONS BETWEEN AUSTRALIA AND THE CHINESE STATES * EDUARDO D. ROCA; MARK BRIMBLE

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Bookmark: http://trove.nla.gov.au/version/167101
Physical Description
  • article
Language
  • English

Edition details

Title
  • LONG-TERM AND SHORT-TERM EQUITY MARKET PRICE INTERACTIONS BETWEEN AUSTRALIA AND THE CHINESE STATES *
Author
  • EDUARDO D. ROCA
  • MARK BRIMBLE
Physical Description
  • article
Notes
  • This study investigates the extent and manner of long-term and short-term price interaction between the equity market of Australia and those of China, Hong Kong, Singapore and Taiwan taking into account the effect of the Asian financial crisis. It uses cointegration and generalised forecast variance and impulse response analyses. The study finds no long-term price relationship between the equity markets of Australia and the Chinese states. The short-term evidence indicates that Australia was only significantly interdependent with Hong Kong during the pre-Asian crisis period and with Hong Kong and Singapore during the post-crisis period. Australia and these markets react to a shock from each other immediately during the first day and complete this reaction by day two. These findings are useful for investors and policy makers, especially in light of the economic importance of these nations and China's recent admittance to the World Trade Organisation. Copyright Blackwell Publishing Ltd/​University of Adelaide and Flinders University 2005..
  • RePEc:bla:ausecp:v:44:y:2005:i:3:p:221-230
Language
  • English
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