TY - JOUR
T1 - Regime-dependent relationships among the stock markets of the US, Australia and New Zealand
T2 - A Markov-switching VAR approach
AU - Qiao, Zhuo
AU - Li, Yuming
AU - Wong, Wing Keung
N1 - Funding Information:
This research is partially supported by University of Macau, California State University, Hong Kong Baptist University, and the Research Grants Council of Hong Kong. The third author would like to thank Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement.
PY - 2011/12
Y1 - 2011/12
N2 - 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.
AB - 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.
KW - Dynamic relationships
KW - Hansen test
KW - Markov switching VAR
KW - Regime-dependent impulse response
KW - Stock markets
UR - http://www.scopus.com/inward/record.url?scp=80052888544&partnerID=8YFLogxK
U2 - 10.1080/09603107.2011.595678
DO - 10.1080/09603107.2011.595678
M3 - Journal article
AN - SCOPUS:80052888544
SN - 0960-3107
VL - 21
SP - 1831
EP - 1841
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 24
ER -