Comovement in anomalies between the Australian and US equity markets

Mardy Chiah, Philip Gharghori, Angel Zhong

Research output: Contribution to journal › Article › Research › peer-review

Abstract

This study examines the comovement between eight prominent Australian asset pricing anomalies and their corresponding US counterparts. It confirms the continued existence of these anomalies in Australia and finds that these anomalies do not co-move with their US counterparts. Given the conflicting findings in prior research on the integration or segmentation of the Australian and US equity markets, this study adds to the body of evidence supporting segmentation.

Original languageEnglish
Number of pages13
JournalInternational Review of Finance
DOIs
Publication statusAccepted/In press - 12 Dec 2018

Cite this

Chiah, Mardy ; Gharghori, Philip ; Zhong, Angel. / Comovement in anomalies between the Australian and US equity markets. In: International Review of Finance. 2018.
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Chiah, M, Gharghori, P & Zhong, A 2018, 'Comovement in anomalies between the Australian and US equity markets', International Review of Finance. https://doi.org/10.1111/irfi.12249

Comovement in anomalies between the Australian and US equity markets. / Chiah, Mardy; Gharghori, Philip; Zhong, Angel.

In: International Review of Finance, 12.12.2018.

Research output: Contribution to journal › Article › Research › peer-review

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Chiah M, Gharghori P, Zhong A. Comovement in anomalies between the Australian and US equity markets. International Review of Finance. 2018 Dec 12. https://doi.org/10.1111/irfi.12249

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