Kam C. Chan (Associate Professor of Finance, School of Business and Technology, University of Wisconsin-Parkside,) Benton E. Gup Ming-Shiun Pan
Abstract
This study examines the relationships among stock prices in eighteen national stock markets by using unit root and cointegration tests for the period 1961--92. All the markets were analyzed individually and collectively in regions to test for market efficiency. The results from unit root tests suggest that the world equity markets are weak-form efficient. The cointegration test results show that there are only a small number of significant cointegrating vectors over the last three decades. However, the number of significant cointegrating vectors increases after the October 1987 stock market crash, a result that is consistent with the contagion effect. Copyright Blackwell Publishers Ltd 1997.
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