This paper analyses price linkages between the equity market of Australia and those of Hong Kong, Singapore and Taiwan using cointegration, Granger-causality, variance decomposition and impulse response analyses based on MSCI database covering the period 1975-1995. The results show that the...

Stochastic approach has received renewed attention in recent years (e.g. Clements and Izan, and Selvanathan and Rao). However, there was some criticism about the form of the error variance used in the new stochastic approach (see work by Diewert). In a recent paper in Applied Economics Letters,...