Long-Term and Short-Term Equity Market Price Interactions between Australia and the Chinese States

10 Pages Posted: 6 Sep 2005

See all articles by Eduardo Roca

Eduardo Roca

Griffith University

Mark Brimble

Griffith University - School of Accounting, Banking and Finance - Nathan and Logan Campuses; Centre for Financial Independence and Education

Abstract

This study investigates the extent and manner of long-term and short-term price interaction between the equity market of Australia and those of China, Hong Kong, Singapore and Taiwan taking into account the effect of the Asian financial crisis. It uses cointegration and generalised forecast variance and impulse response analyses. The study finds no long-term price relationship between the equity markets of Australia and the Chinese states. The short-term evidence indicates that Australia was only significantly interdependent with Hong Kong during the pre-Asian crisis period and with Hong Kong and Singapore during the post-crisis period. Australia and these markets react to a shock from each other immediately during the first day and complete this reaction by day two. These findings are useful for investors and policy makers, especially in light of the economic importance of these nations and China's recent admittance to the World Trade Organisation.

Suggested Citation

Roca, Eduardo and Brimble, Mark, Long-Term and Short-Term Equity Market Price Interactions between Australia and the Chinese States. Australian Economic Papers, Vol. 44, No. 3, pp. 221-230, September 2005, Available at SSRN: https://ssrn.com/abstract=786085

Eduardo Roca (Contact Author)

Griffith University ( email )

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

Mark Brimble

Griffith University - School of Accounting, Banking and Finance - Nathan and Logan Campuses ( email )

University Drive
Logan, Queensland 4131
Australia
(07) 373 55311 (Phone)

Centre for Financial Independence and Education ( email )

Brisbane, Queensland 4111
Australia

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