TY - JOUR
T1 - The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets
AU - Kim, Sangbae
AU - In, Francis
PY - 2002/11
Y1 - 2002/11
N2 - This paper examines the impact of the major stock markets (US, UK and Japan) and of the domestic and US macroeconomic news announcements on Australia's financial markets. It also investigates the dynamic interaction between the Australian futures market and the stock market, using a bivariate GJR-GARCH model. Our results indicate that the movements of these three major foreign stock markets significantly influence the Australian futures and stock markets. Some US and Australian macroeconomic news has a significant effect on the first and second moments of Australian financial markets. The data confirms that the futures market leads the stock market.
AB - This paper examines the impact of the major stock markets (US, UK and Japan) and of the domestic and US macroeconomic news announcements on Australia's financial markets. It also investigates the dynamic interaction between the Australian futures market and the stock market, using a bivariate GJR-GARCH model. Our results indicate that the movements of these three major foreign stock markets significantly influence the Australian futures and stock markets. Some US and Australian macroeconomic news has a significant effect on the first and second moments of Australian financial markets. The data confirms that the futures market leads the stock market.
KW - Australian financial markets
KW - Financial market linkage
KW - Impact of foreign stock market
KW - Macroeconomic news announcements
UR - http://www.scopus.com/inward/record.url?scp=0036838371&partnerID=8YFLogxK
U2 - 10.1016/S0927-538X(02)00061-6
DO - 10.1016/S0927-538X(02)00061-6
M3 - Article
AN - SCOPUS:0036838371
SN - 0927-538X
VL - 10
SP - 571
EP - 582
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
IS - 5
ER -