Stock Price Fluctuations in Australia: The Influence of Japanese and U.S.
Markets.
by
Guay C. Lim and Paul D. McNelis.
March 1996
Department of Economics. University of Melbourne. Parkville Victoria
3052 Australia
ABSTRACT
This paper examines the influence of shocks in the Japanese Nikkei
Index and in the U.S. S & P Index on the Australian All-Ordinaries
Index. We present results from the application of three models-an autoregressive
linear model, a GARCH-M model and a non linear neural network model. We
find that a restricted feedforward neural network model, incorporating
parallel processing of information according to a Pacific-Atlantic time
zone specification, out-performs the linear model, as well as other types
of neural architectures. Comparison of results also shows that, relative
to the non-linear model, the linear model over-estimates the effect of
the S & P and under-estimates the effect of the Nikkei index on the
All Ordinaries.
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