Mauger, Chris2010-07-142010-07-141997https://hdl.handle.net/10182/2240The 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.This 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.enhttps://researcharchive.lincoln.ac.nz/pages/rightsinternational stock marketsstock returnsstock return volatilityinterdependenceNZSE40S&P500impulse response functionsmultivariateGARCHEGARCHmaximum likelihood estimationThesisDigital thesis can be viewed by current staff and students of Lincoln University only. If you are the author of this item, please contact us if you wish to discuss making the full text publicly available.ANZSRC::150205 Investment and Risk ManagementANZSRC::150202 Financial EconometricsANZSRC::140207 Financial EconomicsANZSRC::140210 International Economics and International FinanceQ112852886