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Integration and interdependence of stock and foreign exchange markets: an Australian perspective

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  • Shamsuddin, Abul F. M.
  • Kim, Jae H.

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  • Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July.
    • Handle: RePEc:eee:intfin:v:13:y:2003:i:3:p:237-254
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    14. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September.
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    17. Khoo, Andrew, 1994. "Estimation of foreign exchange exposure: an application to mining companies in Australia," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 342-363, June.
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    2. Tomoe Moore, 2007. "Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1431-1446.
    3. Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi, 2011. "Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 319-344, September.
    4. Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019. "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, vol. 81(C), pages 136-147.
    5. Benjamin Mudiangombe Mudiangombe & John Weirstrass Muteba Mwamba, 2023. "Impacts of U.S. Stock Market Crash on South African Top Sector Indices, Volatility, and Market Linkages: Evidence of Copula-Based BEKK-GARCH Models," IJFS, MDPI, vol. 11(2), pages 1-19, June.
    6. Ping Wang & Tomoe Moore, 2008. "Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach," Manchester School, University of Manchester, vol. 76(s1), pages 116-133, September.
    7. Hatemi-J, Abdulnasser & Al-Mohana, Safa, 2019. "Testing for Financial Market Integration of the UAE Market with the Global Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(4), pages 475-492.
    8. Huseyin Tastan, 2005. "Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets," Working Papers 2005/10, Turkish Economic Association.
    9. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
    10. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
    11. Song, Yuegang & Huang, Ruixian & Paramati, Sudharshan Reddy & Zakari, Abdulrasheed, 2021. "Does economic integration lead to financial market integration in the Asian region?," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 366-377.
    12. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
    13. Ahmed, Walid M.A., 2011. "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper 28127, University Library of Munich, Germany.
    14. Paresh Kumar Narayan & Russell Smyth, 2004. "Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 991-1004.
    15. Heng Chen & Russell Smyth & Wing-Keung Wong, 2008. "Is being a super-power more important than being your close neighbour? A study of what moves the Australian stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 733-747.
    16. Sudharshan Reddy Paramati & Eduardo Roca & Rakesh Gupta, 2016. "Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia," Applied Economics, Taylor & Francis Journals, vol. 48(44), pages 4210-4226, September.

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