The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia?

• Autores: Patricia Fraser, Lynn McAlevey, Matthew M. Tayler
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 18, Nº. 4-6, 2008, págs. 451-462
• Idioma: inglés
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• Resumen

  • Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the Australian market relative to those in other Pacific-Basin markets. This has implications for a stock market merger between these two countries as well as a possible monetary union.