Premium
Comovement in Anomalies between the Australian and US Equity Markets *
Author(s) -
Chiah Mardy,
Gharghori Philip,
Zhong Angel
Publication year - 2020
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12249
Subject(s) - equity (law) , market segmentation , segmentation , financial economics , capital asset pricing model , economics , financial market , business , political science , finance , microeconomics , computer science , artificial intelligence , law
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.