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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

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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  • T Lorde & B Francis & A Greene, 2009. "Testing for Long-Run Comovement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 55-80, September.
    • Handle: RePEc:eis:articl:209lorde
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    2. Howard, Stacia & Craigwell, Roland, 2010. "Convergence of Caribbean Stock Exchanges," MPRA Paper 40930, University Library of Munich, Germany.
    3. B Harrison & W Moore, 2010. "Stock Market Co-Movement in the Caribbean," Economic Issues Journal Articles, Economic Issues, vol. 15(1), pages 1-15, March.
    4. Dosse Toulaboe, 2022. "Cointegration of Equity Markets in Three Country Groups of OECD Countries," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 10(1), pages 11-31.

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