haku: @freeterm causality / yhteensä: 2
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| Tekijä: | Hatemi-J, A. Roca, E.D. |
| Otsikko: | An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method |
| Lehti: | European Journal of Finance
2004 : DEC, VOL 10:6 475-488 |
| Asiasana: | European Union Australia |
| Vapaa asiasana: | Causality Equity market integration Leveraged bootstrap |
| Kieli: | eng |
| Tiivistelmä: | This article investigates the equitiy market price interaction between Australia and the European Union - represented by UK, Germany and France - based on the Toda-Yamoto causality test, which is bootstrapped with leveraged adjustments. During the period before the ERM crisis (1992), no significant causal links exist between Australia and any of three EU countries. After ERM crisis, Australia also had no links with German and French 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 the British, investors may also obtain the same benefit from the Australian equity market. |
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