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International Stock Market Efficiency and Integration: A Study of Eighteen Nations

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  • 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.

Suggested Citation

  • Kam C. Chan & Benton E. Gup & Ming-Shiun Pan, 1997. "International Stock Market Efficiency and Integration: A Study of Eighteen Nations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 803-813.
  • Handle: RePEc:bla:jbfnac:v:24:y:1997-07:i:6:p:803-813
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