The impact of economic integration on equity market linkage : evidence from bilateral trade data

Yeung, Noel. (2005). The impact of economic integration on equity market linkage : evidence from bilateral trade data Honours Thesis, School of Business, The University of Queensland.

       
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Author Yeung, Noel.
Thesis Title The impact of economic integration on equity market linkage : evidence from bilateral trade data
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2005
Thesis type Honours Thesis
Total pages 103
Language eng
Subjects 14 Economics
Formatted abstract This thesis investigates the impact of economic integration on the degree of equity market linkage between two economies, where economic integration is proxied by the bilateral trade relations between those two countries. Bilateral trade may be viewed as a mechanism through which economic shocks are transferred between two trading economies. This gives rise to co-movement in the economic activities with the direction of the co-movement depending on the nature of the trade relation. Canova (1993) state that where countries display production interdependence, there will be positive comovement and where countries display consumption interdependence, there will be negative co-movements in economic activity. It is well established in the literature that a positive relationship exists between economic activity and stock returns. This thesis therefore hypothesizes that production interdependence will result in an increase in the level of market linkage while consumption interdependence will result in a decrease in the level of market linkage. The empirical evidence supports both hypotheses.
Additional Notes Variant title: Economic integration and equity market linkage

 
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Created: Thu, 18 Nov 2010, 17:19:50 EST by Muhammad Noman Ali on behalf of The University of Queensland Library