Cointegration of International Stock Market Indices

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 States, Canada, the United Kingdom, France,... READ MORE...

Publication date: August 1994
ISBN 9781451950700
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