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dc.contributor.authorMauger, Chris
dc.date.accessioned2010-07-14T03:37:51Z
dc.date.available2010-07-14T03:37:51Z
dc.date.issued1997
dc.identifier.urihttps://hdl.handle.net/10182/2240
dc.descriptionThe original copy of this thesis has pages 36-37 missing, please contact the Research Archive Administrator if you have a copy of the missing pages, so they can be added to the file.en
dc.description.abstractThis thesis examines the level and degree of interdependence between the United States and New Zealand. In particular, I examine the effects of the arrival of new information in the United States stockmarket, as measured by a unit shock, that is transmitted to the New Zealand stockmarket. The methodology for deriving impulse response functions from the nonlinear conditional variance process is given particular attention. Impulse response functions for both stock returns and stock return volatility are computed from the estimation of a multivariate GARCH model. In addition, the transmission mechanism is further profiled by examining price spillovers, and asymmetry in the volatility process.en
dc.language.isoenen
dc.publisherLincoln Universityen
dc.rights.urihttps://researcharchive.lincoln.ac.nz/page/rights
dc.subjectinternational stock marketsen
dc.subjectstock returnsen
dc.subjectstock return volatilityen
dc.subjectinterdependenceen
dc.subjectNZSE40en
dc.subjectS&P500en
dc.subjectimpulse response functionsen
dc.subjectmultivariateen
dc.subjectGARCHen
dc.subjectEGARCHen
dc.subjectmaximum likelihood estimationen
dc.titleThe international transmission of stock returns and stock return volatilityen
dc.typeThesisen
thesis.degree.grantorLincoln Universityen
thesis.degree.levelMastersen
thesis.degree.nameMaster of Commerce and Managementen
lu.thesis.supervisorWard, Bert D.
lu.thesis.supervisorGan, Chris
lu.contributor.unitDepartment of Accounting, Economics and Financeen
dc.rights.accessRightsDigital thesis can be viewed by current staff and students of Lincoln University only. Print copy available for reading in Lincoln University Library. May be available through inter-library loan.en
dc.subject.anzsrc150205 Investment and Risk Managementen
dc.subject.anzsrc150202 Financial Econometricsen
dc.subject.anzsrc140207 Financial Economicsen
dc.subject.anzsrc140210 International Economics and International Financeen


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