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International Stock Markets: A Co-integration Analysis

Author

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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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    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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