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论文类型：期刊论文

发表时间：2016-06-01

发表刊物：AUSTRALIAN ECONOMIC PAPERS

收录刊物：SSCI、Scopus

卷号：55

期号：2

页面范围：149-169

ISSN号：0004-900X

摘要：This paper aims to examine whether the intensity of trade and investment linkages among the countries matter for their stock market long-run relationship. To achieve this, we classify Australia's bilateral trade and investment partners into major, medium and minor. Empirical findings of an asymmetric generalised dynamic conditional correlation generalised autoregressive conditional heteroskedasticity model show that correlations are time varying and increased significantly during the global financial crisis (GFC). Results of multivariate cointegration test confirm the long-run equilibrium relationship between the stock markets of Australia and its major partners in the pre-GFC and during GFC. Based on the full-sample results, it indicates that the GFC has segmented the stock markets from the long-run equilibrium relationship. Granger non-causality test results on full sample show that Australian stock market causes only the New Zealand market while the USA, the UK, Germany, Canada, Switzerland and Italy drives the Australian market. Our results therefore suggest that the intensity of bilateral trade and investment linkages among the countries matter for their stock markets' long-term relationship.