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Testing for Long-Run Comovement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean

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  • T Lorde
  • B Francis
  • A Greene
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    Abstract

    This study investigates comovement, common features and efficiency in CARICOM stock markets. The stock markets of Barbados, Jamaica and Trinidad and Tobago are examined for the period 1991:1-2006:12, using the techniques of cointegration and common feature testing. No evidence is found of long-run or short-run comovement, or common features. These findings imply that (1) the BSE, JSE and TTSE are weakly efficient; (2) markets are segmented; and (3) there may be benefits from regional diversification of asset portfolios.

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    Bibliographic Info

    Article provided by Economic Issues in its journal Economic Issues.

    Volume (Year): 14 (2009)
    Issue (Month): 2 (September)
    Pages: 55-80

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    Handle: RePEc:eis:articl:209lorde

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    Web page: http://www.economicissues.org.uk
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