Short-term and long-term price linkages between the equity markets of Australia and its major trading partners

Roca, Eduardo

doi:10.1080/096031099332168

Cited by 67 publications

(65 citation statements)

References 25 publications

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“…The co-movement between Malaysian stock market with other main trading partners like Japan, US and Singapore. Roca (1999) on the basis of evaluating Co-integration test examined the interrelatedness among the stock markets of Australia, Hong-Kong, Japan, Korea, U.K, U.S, Singapore and Taiwan, and found no long term relationship with Australia specifically and in general with each other. (Wong, Agarwal et al 2004) analyzed the developed and developing economies stock markets with context of long-run relationship.…”

Section: Global Equity Marketsmentioning

confidence: 99%

Economic Integration of Stock Markets: An Evidence from Pakistan, China and Malaysia Stock Exchanges

Anwar¹,

Raza²

2016

MOS

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The last decade Pakistani Equity Market witnessed a lot of favorable and unfavorable happenings which lead to internal markets collapse. The local investors are interested especially in the countries like China, Malaysia, UAE and Bangladesh which are politically, geographically and strategically important as investment portfolio point of view. It is experimented that if different equity markets of world are co-movement i.e. there exist long-term relationship, then the benefit of diversification by investing in different equity markets cannot be attained. Therefore, this study is important, which has explored the short/long term co-integration relationship of selected economies with Pakistani Equity Market. The main purpose and scope of this study was to explore causal and dynamic linkages of Karachi Stock Exchange, KSE-100 index (Pakistan) with emerging stock markets of Shanghai Stock Exchange, SSE (China), Kuala Lumpur Stock Exchange, KLSE (Malaysia). The study explores that the major change in KSE-100 is due to its own innovations and other markets have no significant impact on the KSE. The results show the need of future study to explore the factors of economic integration among these stock markets. Problem StatementThe local investors are feeling themselves much insecure in indigenous investment. This study is important in which it will be explored that the selected Asian Stock Markets have any short/ long-run co-integration relationship with Pakistani stock Market or not. Thus the aim and purpose of the current research is to study the relationship and possibility of mutual investment in these stock markets. Aim of the Study:The main aim of the current study in hand is to investigate and explore both dynamic and causal linkages ofKSE-100 index (Pakistan) of Karachi Stock Exchange, with emerging equity markets Shanghai Stock Exchange, SSE (China) and Kuala Lumpur Stock Exchange, KLSE (Malaysia). Objectives of the study:The prime objective of the current study is to analyze short term, long term co-integration and trading pattern with the selected stock market i.e. Pakistan, Malaysia and China.Research Question: Does Pakistani Stock Market (KSE) have any short term/long term co-integration relationship with selected Markets?Significance of the Study: The research is having significance to see the past and identify the issue which are creating hurdles in investment and see the future possibilities to have an advantage from each other experiences for growth.

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Section: Global Equity Marketsmentioning

confidence: 99%

Economic Integration of Stock Markets: An Evidence from Pakistan, China and Malaysia Stock Exchanges

Anwar¹,

Raza²

2016

MOS

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“…They complete their response within a period of two weeks. Given that our study is based on weekly data, this response can be considered as efficient in line with Beechey et al (2000); Bracker et al (1999) and Roca (1999). Figure 4 further shows that the funds respond to the US equity market shock in a larger manner during regime 2 which means that the funds are more sensitive to the market during the down market regime and less sensitive during the up market state-a situation that is not desirable and therefore indicative of lack of market timing success.…”

Section: Impulse Response Analysismentioning

confidence: 68%

“…For example, Roca (1999) found that the Australian equity market is linked with the US market in the short run. Ragunathan et al (2000) also confirmed this when they found that the US market has a large impact on the Australian market.…”

Section: Regime Coefficientsmentioning

confidence: 99%

Markov Regime Switching Modelling and Analysis of Socially Responsible Investment Funds

Roca¹,

Wong²,

Tularam³

2011

Journal of Mathematics and Statistics

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Problem statement: An increasing proportion of Australian superannuation funds are being placed in Socially Responsible Investments (SRI). Yet, there is no clarity in the literature as regards the risk and return characteristics of these investments and how their performance is affected by different states of the market and sector. Approach: We examine the sensitivity of Australian SRI Funds to movements of the US and Australian equity markets and SRI sectors under different market conditions through the application of Markov regime switching analysis. Results: We find that Australian SRI Funds are affected by movements in the US equity market and SRI sector during up and down market conditions. The Australian equity market also affects these funds but only during up market state. On the other hand, the Australian SRI sector does not have any significant effect on these funds. Conclusion: Australian SRI Funds are significantly driven by the US equity market and SRI sector and to a lesser extent, by the Australian equity market. The findings indicate that the returns of these funds are sensitive to market as well as sector movements and that Australian SRI Funds managers do not have market timing ability.

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“…Najand (1996), using linear state space models, detected stronger interactions among the stock markets of Japan, Hong Kong, and Singapore after the 1987 stock market crash. Weber (2007) revealed various causality-in-variance effects between the volatilities in the national financial markets in the Asian-Pacific region (Australia, Hong Kong, Indonesia, India, Japan, South Korea, New Zealand, Philippines, Singapore, Taiwan and Thailand) for the post-crisis period 1999-2006. Cheung (1995 observed a long-run relationship among five emerging stock markets: Hong Kong, Korea, Malaysia, Singapore, and Thailand.…”

Section: Literature Reviewmentioning

confidence: 99%

Malaysian and Tiger Market Linkages: An Analysis on the Long Run Relationship and Risk Diversification

Marimuthu¹,

Kok²

2010

IJEF

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The fundamental argument in the Capital Asset Pricing Model (CAPM) is that the market risk is impossible to be eliminated. Investors tend to look into the possibility of diversifying their investment activities in various countries in the same region, hence, regional of equity markets. This study makes an attempt to re-examine the dynamic relationship among the Malaysian, and the Tiger markets (Hong Kong, South Korea, Singapore and Taiwan). This study adopts the Johansen multivariate cointegration test and VECM using a five-variable model and followed by the Granger causality test. The results indicate that there is a long run relationship among the five markets, and that the Hong Kong and Taiwan markets appear to be the most influential markets in this region.

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Short-term and long-term price linkages between the equity markets of Australia and its major trading partners

Cited by 67 publications

References 25 publications

Economic Integration of Stock Markets: An Evidence from Pakistan, China and Malaysia Stock Exchanges

Economic Integration of Stock Markets: An Evidence from Pakistan, China and Malaysia Stock Exchanges

Markov Regime Switching Modelling and Analysis of Socially Responsible Investment Funds

Malaysian and Tiger Market Linkages: An Analysis on the Long Run Relationship and Risk Diversification

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