The stock-market linkages between Australia and U.S., U.K., and Japan 1988-1996

Hsieh, Rick. (1997). The stock-market linkages between Australia and U.S., U.K., and Japan 1988-1996 Master's Thesis, School of Business, The University of Queensland.

       
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Author Hsieh, Rick.
Thesis Title The stock-market linkages between Australia and U.S., U.K., and Japan 1988-1996
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1997
Thesis type Master's Thesis
Total pages 76
Language eng
Subjects 1502 Banking, Finance and Investment
Formatted abstract The objective of this report is to investigate empirically the stability and behavior of the Australian and US, UK and Japan stock-market relationships over the period from 1988 to 1996 period. The main conclusions of this report are as follows. First, the empirical results of this study indicate that a substantial amount of interdependence between the Australian and US, UK and Japanese stock markets. The correlations and sensitivities are generally quite high in magnitude and are statistically significant. Second, there had been no trend increase in the correlations between the Australian and US, UK and Japanese stock markets over the period 1988-1996. Instead, this report found some evidence that the correlations had decreased over the sample period. In particular, the correlations between the Australian and US and Japanese stock markets for the first half of the sample period (January 1989 - June 1991) is statistically higher than the correlations for the second half of the sample period (July 1991 - December 1996). Although, it s commonly accepted that growing financial tiers between national stock markets have led to national stock markets moving more closely together, this report was unable to find any evidence in favor of a trend increase in correlations. Third, on the issue of stability over time this report found considerable one-year stability, but somewhat weaker stability in the three-year and four-and-half-year cases. Four, the evidence suggests that the correlations are related to volatility. The correlations increase in periods of high volatility. Further, the evidence suggests the Australian volatility has a greater influence on the correlations than the non-Australian volatility. Five, the correlations are significantly higher when the contemporaneous absolute returns of the national market indexes are high. Finally, the results indicate that the correlations are higher on Mondays than any other days of the week.

 
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