The New Zealand market's relationship with Australia and Pacific-Basin share markets: is New Zealand converging with Australia?

References

• Akdogan , H . 1995 . The Integration of International Capital Markets: Theory and Empirical Evidence , Aldershot : Edward Elgar .
   Google Scholar
• Alexakis , P , Apergis , N and Xanthakis , E . 1997 . Integration of international capital markets: further evidence from EMS, & non-EMS membership . Journal of International Financial Markets , 7 : 277 – 87 .
   Web of Science ®Google Scholar
• Ammer , J and Mei , J . 1996 . Measuring international economic linkages with stock market data . Journal of Finance , LI : 1743 – 63 .
   Google Scholar
• Arshanapalli , B , Doukas , J and Lang , L . 1995 . Pre and post-October 1987 stock market linkages between US and Asian markets . Pacific-Basin Finance Journal , 3 : 57 – 73 .
   Google Scholar
• Ayuso , J and Blanco , R . 2001 . Has financial market integration increased during the nineties . Applied Financial Economics , 12 : 575 – 80 .
   Google Scholar
• Bekaert , G and Harvey , CR . 1995 . Time-varying world market integration . Journal of Finance , 50 : 403 – 44 .
   Web of Science ®Google Scholar
• Bracker , K , Docking , DS and Koch , PD . 1999 . Economic determinants of evolution in international stock market integration . Journal of Empirical Finance , 6 : 1 – 27 .
   Google Scholar
• Brown , SJ and Toshiyuki , O . 1993 . Risk premia in Pacific-Basin capital markets . Pacific-Basin Journal , 1 : 235 – 61 .
   Google Scholar
• Cha , B and Sekyung , O . 2000 . The relationship between developed equity markets and the Pacific-Basins emerging equity markets . International Review of Economics and Finance , 9 : 299 – 322 .
   Google Scholar
• Chang , EC , McQueen , GR and Pinegar , JM . 1999 . Cross autocorrelation in Asian stock markets . Pacific-Basin Finance Journal , 7 : 471 – 93 .
   Google Scholar
• Chay , JB and Eleswarapu , VR . 2001 . Deregulation and capital market integration: a study of the New Zealand stock market . Pacific-Basin Finance Journal , 9 : 29 – 46 .
   Google Scholar
• Chen , N and Feng , Z . 1997 . Correlations, trades and stock returns of the Pacific-Basin markets . Pacific-Basin Finance Journal , 5 : 559 – 77 .
   Google Scholar
• Cho , DC , Eun , CS and Senbet , LW . 1986 . International arbitrage pricing theory: an empirical investigation . The Journal of Finance , XLI : 313 – 39 .
   Google Scholar
• Chowdhury , AR . 1994 . Stock market interdependencies: evidence from the Asian NIE's . Journal of Macroeconomics , 16 : 629 – 51 .
   Web of Science ®Google Scholar
• Coleman , A . 1999 . Economic integration and monetary union, Working Paper 99/6, Wellington, New Zealand Treasury
   Google Scholar
• Dalziel , P and Lattimore , R . 2002 . The New Zealand Macroeconomy: A Briefing on the Reforms and their Legacy , Oxford : Oxford University Press .
   Google Scholar
• Dekker , A , Sen , K and Young , M . 2001 . Equity market linkages in the Asia Pacific region a comparison of the orthagonalised and generalised VAR approaches . Global Finance Journal , 12 : 1 – 33 .
   Google Scholar
• Eun , CS and Shim , S . 1989 . International transmission of stock market movements . Journal of Financial and Quantitative Analysis , 24 : 241 – 56 .
   Web of Science ®Google Scholar
• Evans , L , Grimes , A , Wilkinson , B and Teece , D . 1996 . Economic reform in New Zealand 1984–95: the pursuit of efficiency . Journal of Economic Literature , 36 : 1856 – 902 .
   Google Scholar
• Fraser , P and Oyefeso , O . 2005 . US, UK and European Stock Market Integration . Journal of Business Finance and Accounting , 32 : 161 – 81 .
   Web of Science ®Google Scholar
• Grimes , A , Holmes , F and Bowden , R . 2000 . An ANZAC Dollar? , Wellington : Institute of Policy Studies .
   Google Scholar
• Haldane , AG and Hall , SG . 1991 . Sterling’s relationship with the Dollar and the Deutschemark: 1976–89 . The Economic Journal , 101 : 436 – 43 .
   Web of Science ®Google Scholar
• Hameo , Y , Masulis , RW and Ng , V . 1990 . Correlation in price changes and volatility across international stock markets . Review of Financial Studies , 3 : 281 – 307 .
   Google Scholar
• Hargreaves , D and McDermott , J . 1999 . Issues relating to optimal currency areas: theory and implications for New Zealand . Reserve Bank of New Zealand Bulletin , 62 : 16 – 29 .
   Google Scholar
• Harvey , AC . 1990 . The Econometric Analysis of Time Series , Hemel Hempstead : Philip Allan .
   Google Scholar
• Heaney , R and Hooper , V . 1999 . World, regional and political risk influences upon Asia Pacific equity market returns . Australian Journal of Management , 24 : 131 – 42 .
   Google Scholar
• Hutching , C . 2001 . Firms merge while future of the stock exchange is up in the air, National Business Review
   Google Scholar
• Janakiraman , S and Lamba , AS . 1998 . An empirical examination of linkages between Pacific-Basin capital markets . Journal of International Financial Markets, Institutions and Money , 8 : 155 – 73 .
   Google Scholar
• Jeon , B and Fursenberg , G . 1990 . Growing international co-movement in stock price indexes . Quarterly Review of Economics , 30 : 15 – 30 .
   Google Scholar
• Jorion , P and Schwartz , E . 1986 . Integration vs. segmentation in the Canadian stock market . Journal of Finance , XLI : 603 – 13 .
   Google Scholar
• Koch , PD and Koch , TW . 1991 . Evolution in dynamic linkages across daily national stock indexes . Journal of International Money and Finance , 10 : 231 – 51 .
   Web of Science ®Google Scholar
• Krugman , P . 2003 . The Great Unravelling: Losing Our Way in the New Century , New York : Norton .
   Google Scholar
• Longin , F and Solnik , B . 1995 . Is the correlation in international equity returns constant: 1960–1991 . Journal of International Money and Finance , 14 : 3 – 26 .
   Web of Science ®Google Scholar
• Masih , AMM and Masih , R . 1999 . Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets . Pacific-Basin Finance Journal , 7 : 251 – 82 .
   Google Scholar
• Phylaktis , K . 1999 . Capital market integration in the Pacific-Basic region: an impluse response analysis . Journal of International Money and Finance , 18 : 267 – 87 .
   Web of Science ®Google Scholar
• Scrimgeour , D . 2001 . Exchange rate volatility and Currency Union: Some theory and New Zealand Evidence, Reserve Bank of New Zealand Discussion Paper Series DP2001/04, Wellington
   Google Scholar
• Springall , L . 2002 . Beware the ASX warns NZ Stock Exchange, The Independent
   Google Scholar
• Stehle , R . 1997 . An empirical test of the alternative hypotheses of national and international pricing of risky assets . Journal of Finance , 32 : 493 – 502 .
   Google Scholar
• Stiglitz , JE . 2003 . The Roaring Nineties , New York : Norton .
   Google Scholar
• Wilmott , B . 2002 . Exchange mergers ‘unlikely’, Australian Financial Review
   Google Scholar