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dc.contributor.authorEllwood, Nicholas Ken_NZ
dc.date.available2011-04-07T03:15:06Z
dc.date.copyright2000-02en_NZ
dc.identifier.citationEllwood, N. K. (2000, February). Cointegrating relationships in international stock markets (Thesis). Retrieved from http://hdl.handle.net/10523/1386en
dc.identifier.urihttp://hdl.handle.net/10523/1386
dc.description.abstractIt is commonly accepted that the performance of the New Zealand economy is highly dependent upon the performance of the world economy. As such, strength in the world economy should lead to strength in the New Zealand economy that should be reflected in the performance of the New Zealand stock market. The purpose of this study is to test, using the Johansen Cointegration technique, how in fact the New Zealand stock market is related to some of the major economies throughout the world. My results suggest the presence of 3 cointegrating relationships among the stock markets of the United States, Japan Australia, New Zealand and the United Kingdom. This number is quite high and suggests that in the long-run diversification benefits from investing offshore are small. There is also evidence suggesting the poor performance of the New Zealand stock market since the stock market crash of 1987 has a major influence on these results. This is contrary to the common belief that movements in small stock markets are driven by movements in the major stock markets.en_NZ
dc.subjectNew Zealand economyen_NZ
dc.subjectJohansen Cointegration techniqueen_NZ
dc.subjectmajor stock marketsen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleCointegrating relationships in international stock marketsen_NZ
dc.typeThesisen_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages43en_NZ
otago.date.accession2007-04-02en_NZ
otago.schoolFinanceen_NZ
thesis.degree.disciplineFinanceen_NZ
thesis.degree.grantorUniversity of Otagoen_NZ
thesis.degree.levelMasters Thesesen_NZ
otago.interloanyesen_NZ
otago.openaccessAbstract Only
dc.identifier.eprints582en_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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