Comovements among national stock markets
AbstractThis paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique stochastic discount factor. The paper uses this bound to conduct robust, nonparametric tests of the hypothesis that international equity markets are integrated. ; Using monthly stock return data from the U.S., Japan, and Great Britain for the period 1980 through 1993, I find that conclusions about market integration depend sensitively on the assumed variation of the (unobserved) common world discount rate. Given the observed correlations in returns, markets are more likely to be integrated the more volatile is the discount rate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Federal Reserve Bank of San Francisco in its journal Economic Review.
Volume (Year): (1995)
Issue (Month): ()
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Oh, Swee-Ling & Lau, Evan & Puah, Chin-Hong & Abu Mansor, Shazali, 2010.
"Volatility Co-movement of ASEAN-5 Equity Markets,"
22244, University Library of Munich, Germany.
- Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005.
"Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE,"
0520, University of Crete, Department of Economics.
- Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
- Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Diane Rosenberger).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.