Is being a super-power more important than being your close neighbour? A study of what moves the Australian stock market

@inproceedings{Chen2008IsBA,
  title={Is being a super-power more important than being your close neighbour? A study of what moves the Australian stock market},
  author={Heng Chen and Russell Smyth and Wing-Keung Wong},
  year={2008}
}
This article employs a Fractionally Integrated Vector Error Correction Model (FIVECM) to examine the return transmission between the Australian and New Zealand stock markets and the Australian and the United States stock markets. We augment the FIVECM with a multivariate GARCH model. In so doing, the first and second moments spill over between stock market indices are simultaneously revealed. Our empirical results suggest that the Australian stock market has stronger ties with the United States… CONTINUE READING

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