Price interdependence among equity markets in the Asia-Pacific Region : focus on Australia and ASEAN / Eduardo D. Roca, School of Accounting, Banking and Finance, Faculty of Commerce and Management, Griffith University
Cover; Half Title; Title Page; Copyright Page; Table of Contents; List o f Figures; List o f Tables; Preface; Acknowledgments; 1 Introduction; Purpose of the Book; Overview of the Book's Methodology; Structure of the Book; Overview of the Book's Findings; 2 Equity Market Integration: Concept, Measurement and Existing Evidence; Introduction; The Concept of Equity Market Integration; M easurement of Equity M arket Integration; Present Evidence on Equity M arket Integration; Conclusion; 3 Statistical Framework; Introduction; Vector Autoregression (VAR); Unit Root Test and Lag Test
Cointegration and E rro r Correction ModelG ranger-causality; Forecast Variance Decomposition and Impulse ResponseA nalyses; Data and Calculations; Conclusion; Note; 4 Price Interdependence between the Equity Markets of Australia and its Major Trading Partners; Introduction; Institutional Setting; Hypothesis Testing Results; Conclusion; Note; 5 Price Interdependence among the ASEAN Equity Markets; Introduction; Institutional Setting; Hypothesis Testing Results; 6 Equity Market Price Interdependence between Australia and ASEAN; Introduction; Institutional Setting; Hypothesis Testing Results
ConclusionNote; 7 Investigation of Equity Markets Interdependence Allowing for Autoregressive Conditional Heteroskedasticity (ARCH) Effects; Introduction; ARCH and GARCH Models; Estimation and Diagnostic Tests; Previous Studies; Empirical Results; Summary; Summary and Conclusion; 8 Summary of Results, Implications and Conclusion; Aims and Methodology; Summary of Results; Implications and Conclusion; Note; Bibliography
Summary
"This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region."--Provided by publisher
Notes
"First published 2000 by Ashgate Publishing"--Copyright page
Bibliography
Includes bibliographical references
Notes
Online resource; title from PDF title page (EBSCO, viewed June 7, 2018)
