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• W2022106395 abstract "Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997 Krolzig, HM. 1997. Markov-Switching Vector Autoregressions, Berlin: Springer. [Crossref] , [Google Scholar]) 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." @default.
• W2022106395 created "2016-06-24" @default.
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• W2022106395 date "2011-09-19" @default.
• W2022106395 modified "2023-10-06" @default.
• W2022106395 title "Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach" @default.
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• W2022106395 doi "https://doi.org/10.1080/09603107.2011.595678" @default.
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