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Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach
Zhuo Qiao1; Yuming Li2; Wing-Keung Wong3
2011-09-19
Source PublicationApplied Financial Economics
ISSN0960-3107
Volume21Issue:24Pages:1831-1841
Abstract

Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann et al., 2003), this article investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two different regimes in the three stock markets. We find that the correlations among the three markets are significantly higher in a bear regime than in a bull regime. In addition, the responses of each of the three markets to shocks in the other two markets are stronger and more persistent in the bear regime than in the bull regime. Finally, our findings imply that for the New Zealand stock market, the Australian stock market is more influential than the US stock market, and for the Australian stock market, the US stock market is more influential than the New Zealand stock market.

KeywordMarkov Switching Var Stock Markets Dynamic Relationships Regime-dependent Impulse Response Hansen Test
DOIhttps://doi.org/10.1080/09603107.2011.595678
Indexed BySSCI ; SSCI
Language英语
Fulltext Access
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorZhuo Qiao
Affiliation1.Faculty of Business Administration, University of Macau, Avenida Padre Tomas Pereira, Taipa, Macau 999087, China
2.College of Business and Economics, California State University, PO Box 6848, Fullerton, CA 92834-6848, USA
3.Department of Economics, Hong Kong Baptist University, WLB, Shaw Campus, Kowloon Tong, Hong Kong
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Zhuo Qiao,Yuming Li,Wing-Keung Wong. Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach[J]. Applied Financial Economics,2011,21(24):1831-1841.
APA Zhuo Qiao,Yuming Li,&Wing-Keung Wong.(2011).Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach.Applied Financial Economics,21(24),1831-1841.
MLA Zhuo Qiao,et al."Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach".Applied Financial Economics 21.24(2011):1831-1841.
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