Document Type

Journal Article

Department/Unit

Department of Economics

Abstract

This article employs a Fractionally Integrated Vector Error Correction Model (FIVECM) to examine the return transmission between the Australian and New Zealand stock markets and the Australian and the United States stock markets. We augment the FIVECM with a multivariate GARCH model. In so doing, the first and second moments spill over between stock market indices are simultaneously revealed. Our empirical results suggest that the Australian stock market has stronger ties with the United States stock market than with the New Zealand stock market. We conclude that stock market movements in the United States, as the world's economic superpower, are more important to the Australian stock market than stock market movements in New Zealand, Australia's closest neighbour.

Publication Year

2008

Journal Title

Applied Financial Economics

Volume number

18

Issue number

9

Publisher

Taylor & Francis

First Page (page number)

733

Last Page (page number)

747

Referreed

1

ISSN (print)

0960-3107

Link to Publisher’s Edition

http://www.tandfonline.com/doi/abs/10.1080/09603100701222291

Keywords

Fractionally Integrated Vector Error Correction Model, Multivariate GARCH

Included in

Economics Commons

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