Stock Market Interdependence between Australia and Its Trading Partners: Does Trade Intensity Matter?

Paramati, S.R., Gupta, R. & Roca, E. (2015) “Stock market interdependence between Australia and its trading partners: does trade intensity matter?” Applied Economics DOI: 10.1080/00036846.2015.1047088

34 Pages Posted: 17 Jul 2017

See all articles by Sudharshan Reddy Paramati

Sudharshan Reddy Paramati

University of Dundee; affiliation not provided to SSRN

Rakesh Gupta

Griffith University - Griffith Business School; CQ University; Association of Personal Finance and Investments

Eduardo Roca

Griffith University

Date Written: June 19, 2015

Abstract

We investigate the extent and manner of stock market interdependence between Australia and its trading partners and examine whether this is affected by trade intensity. Based on trade intensity, we classify Australia’s trading partners into major, medium and minor. We hypothesize that markets with greater (lower) trade intensity will be more (less) interdependent with Australia. We perform correlation (unconditional and conditional) analyses between Australia and its trading partners. Results indicate that most of the markets which are highly correlated with Australia are its major trading partners. We conduct panel regression analysis to investigate whether trade intensity has any impact on the stock market correlations between Australia and its trading partners. The results show that trade intensity significantly and positively affect the correlations of Australia with its major trading partners. Thus, the results confirm our hypothesis that trade intensity drives stock market interdependence between Australia and its trading partners.

Suggested Citation

Paramati, Sudharshan Reddy and Paramati, Sudharshan Reddy and Gupta, Rakesh and Roca, Eduardo, Stock Market Interdependence between Australia and Its Trading Partners: Does Trade Intensity Matter? (June 19, 2015). Paramati, S.R., Gupta, R. & Roca, E. (2015) “Stock market interdependence between Australia and its trading partners: does trade intensity matter?” Applied Economics DOI: 10.1080/00036846.2015.1047088 , Available at SSRN: https://ssrn.com/abstract=2620549

Sudharshan Reddy Paramati (Contact Author)

affiliation not provided to SSRN

University of Dundee ( email )

Dundee, Scotland DD1 4HN
United Kingdom
0138284845 (Phone)
DD1 4HN (Fax)

Rakesh Gupta

Griffith University - Griffith Business School ( email )

Brisbane, Queensland 4111
Australia
+61 7 37357593 (Phone)
+61 7 3735 3719 (Fax)

CQ University ( email )

B-33, G-26
Fabie
North Rockhampton, QLD 4701
Australia
+61 7 4930 9158 (Phone)

Association of Personal Finance and Investments

Bruce Highway
Rockhampton
Australia
61749309158 (Phone)

Eduardo Roca

Griffith University ( email )

170 Kessels Road, Nathan
Queensland
Brisbane, 4111
Australia
(07) 373 57583 (Phone)

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