Cointegration of International Stock Market Indices:
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United Sta...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
1994
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Schriftenreihe: | IMF Working Papers
Working Paper No. 94/94 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets |
Beschreibung: | 1 Online-Ressource (16 p) |
ISBN: | 1451950705 9781451950700 |
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spelling | Chou, Ray Yeu-Tien Verfasser aut Cointegration of International Stock Market Indices Chou, Ray Yeu-Tien Washington, D.C International Monetary Fund 1994 1 Online-Ressource (16 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 94/94 In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets Online-Ausg Ng, Victor Sonstige oth Pi, Lynn K. Sonstige oth http://elibrary.imf.org/view/IMF001/01258-9781451950700/01258-9781451950700/01258-9781451950700.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Chou, Ray Yeu-Tien Cointegration of International Stock Market Indices |
title | Cointegration of International Stock Market Indices |
title_auth | Cointegration of International Stock Market Indices |
title_exact_search | Cointegration of International Stock Market Indices |
title_exact_search_txtP | Cointegration of International Stock Market Indices |
title_full | Cointegration of International Stock Market Indices Chou, Ray Yeu-Tien |
title_fullStr | Cointegration of International Stock Market Indices Chou, Ray Yeu-Tien |
title_full_unstemmed | Cointegration of International Stock Market Indices Chou, Ray Yeu-Tien |
title_short | Cointegration of International Stock Market Indices |
title_sort | cointegration of international stock market indices |
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