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Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?
journal contribution
posted on 2023-05-16, 23:41 authored by Dungey, MH, Fry, R, Martin, VThe 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.
History
Publication title
Australian Journal of ManagementVolume
28Pagination
157-182ISSN
0312-8962Department/School
TSBEPublisher
Australian Graduate School of ManagementPlace of publication
AustraliaRights statement
© The Australian Graduate School of Management 2003.Repository Status
- Restricted