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International Stock Markets: A Co-integration Analysis

  • Eleftherios J. Thalassinos
  • Evagelos D. Politis

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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Article provided by European Research Studies Journal in its journal European Research Studies Journal.

Volume (Year): XIV (2011)
Issue (Month): 4 ()
Pages: 113-130

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Handle: RePEc:ers:journl:v:xiv:y:2011:i:4:p:113-130
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