Cointegration of Stock Markets Between New Zealand, Australia and the G7 Economies: Searching for Common Trends Under Structural Change
Author(s)
Narayan, Paresh
Smyth, Russell
Griffith University Author(s)
Year published
2005
Metadata
Show full item recordAbstract
This paper examines whether the New Zealand equity market is integrated with the equity markets of Australia and the G7 economies by applying both the Johansen (1988) and Gregory and Hansen (1996) approaches to cointegration. The Johansen (1988) test suggests that there is no long-run relationship between the New Zealand stock market and any of the other stock markets considered in the study. The Gregory and Hansen (1996) test finds that the New Zealand and United States stock market is cointegrated, but the New Zealand stock market is not cointegrated with the other stock markets in the study. This suggests that in order ...
View more >This paper examines whether the New Zealand equity market is integrated with the equity markets of Australia and the G7 economies by applying both the Johansen (1988) and Gregory and Hansen (1996) approaches to cointegration. The Johansen (1988) test suggests that there is no long-run relationship between the New Zealand stock market and any of the other stock markets considered in the study. The Gregory and Hansen (1996) test finds that the New Zealand and United States stock market is cointegrated, but the New Zealand stock market is not cointegrated with the other stock markets in the study. This suggests that in order to avoid some of the risk through international portfolio diversification there is potential for investors to purchase shares in the New Zealand market and either the Australian market or most of the world's leading equity markets.
View less >
View more >This paper examines whether the New Zealand equity market is integrated with the equity markets of Australia and the G7 economies by applying both the Johansen (1988) and Gregory and Hansen (1996) approaches to cointegration. The Johansen (1988) test suggests that there is no long-run relationship between the New Zealand stock market and any of the other stock markets considered in the study. The Gregory and Hansen (1996) test finds that the New Zealand and United States stock market is cointegrated, but the New Zealand stock market is not cointegrated with the other stock markets in the study. This suggests that in order to avoid some of the risk through international portfolio diversification there is potential for investors to purchase shares in the New Zealand market and either the Australian market or most of the world's leading equity markets.
View less >
Journal Title
AUSTRALIAN ECONOMIC PAPERS
Volume
44
Issue
3
Copyright Statement
© 2005 Blackwell Publishing. The definitive version is available at [www.blackwell-synergy.com.]
Subject
Economics
Commerce, Management, Tourism and Services