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

Mardi Dungey, Renee Fry, Vance L. Martin

Research output: Contribution to journalArticlepeer-review

22 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)157-182
Number of pages26
JournalAustralian Journal of Management
Volume28
Issue number2
DOIs
Publication statusPublished - Sept 2003

Fingerprint

Dive into the research topics of 'Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?'. Together they form a unique fingerprint.

Cite this