International Stock Markets: A Co-integration Analysis
This study investigates the degree of co-integration between five major European stock markets and five major non European stock markets. The results show that all five major European stock markets are co-integrated either positively or negatively, while among the five major non European the Canadian, the Japanese and the Singapore are non co-integrated with the others. The results point towards a decreasing number of common stochastic trends influencing the stock markets, i.e. the degree of co-integration between the European stock markets has been increased during the recent decade.
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