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US, UK and European Stock Market Integration

  • Patricia Fraser
  • Oluwatobi Oyefeso
Registered author(s):

    This paper examines long-run convergence between US, UK and seven European stock markets. We report evidence to suggest that while real short-run diversification gains may occur, in general they tend to be short-lived. However we also find that US and UK markets are relatively less bound to a common trend, which would imply that increased stock market merger activity, and any transition to the European common currency by the UK, may lead to relatively large stock market adjustments as markets adapt to these institutional changes. Copyright Blackwell Publishers Ltd, 2005.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0306-686X.2005.00591.x
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    Article provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.

    Volume (Year): 32 (2005-01)
    Issue (Month): 1-2 ()
    Pages: 161-181

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    Handle: RePEc:bla:jbfnac:v:32:y:2005-01:i:1-2:p:161-181
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    1. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, vol. 42(4), pages 385-390.
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