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Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?

Citation

Dungey, MH and Fry, R and Martin, V, Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?, Australian Journal of Management, 28, (2) pp. 157-182. ISSN 0312-8962 (2003) [Refereed Article]


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Copyright Statement

© The Australian Graduate School of Management 2003.

DOI: doi:10.1177/031289620302800203

Abstract

The linkages between daily Asian and Australian equity market returns over the period 1995–2001 are investigated within the framework of a latent factor model. Transmission mechanisms arising from both market interdependence and contagion are studied. The empirical results reveal that co-movements in Asian and Australian equity markets are largely determined by interdependent linkages arising from common systemic factors. There is little significant evidence of contagion, although negative shocks have more effect than positive ones.

Item Details

Item Type:Refereed Article
Keywords:CONTAGION • INTERDEPENDENCE • FINANCIAL CRISES • FACTOR MODELS • INDIRECT ESTIMATION
Research Division:Economics
Research Group:Applied Economics
Research Field:International Economics and International Finance
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Fiscal Policy
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:57015
Year Published:2003
Deposited By:Economics and Finance
Deposited On:2009-06-12
Last Modified:2010-05-28
Downloads:0

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