Comovement in anomalies between the Australian and US equity markets

Mardy Chiah, Philip Gharghori, Angel Zhong

Research output: Contribution to journalArticleResearchpeer-review


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
Publication statusAccepted/In press - 12 Dec 2018

Cite this