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International Stock Markets: A Co-integration Analysis

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  • Eleftherios J. Thalassinos
  • Evagelos D. Politis

Abstract

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.

Suggested Citation

  • Eleftherios J. Thalassinos & Evagelos D. Politis, 2011. "International Stock Markets: A Co-integration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 113-130.
  • Handle: RePEc:ers:journl:v:xiv:y:2011:i:4:p:113-130
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    References listed on IDEAS

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    Cited by:

    1. Kanellos Toudas & Athanasios Bellas, 2014. "Corporate Governance and its Effect on Firm Value and Stock Returns of Listed Companies on the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 58-80.
    2. Dionysios K. Solomos & Dimitrios N. Koumparoulis, 2013. "Financial Sector and Business Cycles Determinants in the EMU: An Empirical Approach (1996-2011)," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 34-58.
    3. Augustine Arize & Andreas Christofi & Ioannis Kallianiotis & John Malindretos & Moschos Soulis, 2013. "A Financial Econometric Analysis of the Determinants of Interest Rate Risk in the US," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 3-19.
    4. Hani El-Chaarani, 2014. "The Impact of Financial Structure on the Performance of European Listed Firms," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 103-124.
    5. Eleftherios J. Thalassinos & Evagelos D. Politis, 2012. "The Evaluation of the USD Currency and the Oil Prices: A Var Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 137-146.
    6. Engin Erdogan & Meliha Ener & Feyza Arica & Murat Guven, 2013. "Impact of Global Recession on Selected OECD Countries: A Panel Data Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 75-92.
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    10. Konstantinos Liapis & Antonios Rovolis & Christos Galanos, 2013. "Toward a Common Tax Regime for the European Union Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 93-116.
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    15. Anastasios Tsamis & Konstantinos Liapis, 2014. "Property Assets Fair Value Accounting Under Uncertainty," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 35-54.
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    17. Malek Khojasteh Nejad, 2014. "Clustering Stock Exchange data by Using Evolutionary Algorithms for Portfolio Management," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-66.
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    More about this item

    Keywords

    Co-integration Analysis; Stock Markets; Stochastic Trends;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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