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Long-run relationships between international stock prices: further evidence from fractional cointegration tests

Listed author(s):
  • Marcel Aloy

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille 2 - Université Paul Cézanne - Aix-Marseille 3 - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, DEFI - Université de la Méditerranée - Aix-Marseille 2)

  • Boutahar Mohamed

    ()

    (IML - Institut de mathématiques de Luminy - Université de la Méditerranée - Aix-Marseille 2 - CNRS - Centre National de la Recherche Scientifique)

  • Karine Gente

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille 2 - Université Paul Cézanne - Aix-Marseille 3 - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, DEFI - Université de la Méditerranée - Aix-Marseille 2)

  • Anne Peguin-Feissolle

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille 2 - Université Paul Cézanne - Aix-Marseille 3 - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this paper shows that France, Germany, Hong Kong, and Japan stock prices indices are pairwise fractionally cointegrated with US stock prices. Equilibrium errors are mean reverting with half-life lying between 2 and 12 days. It is worthwhile noting that emerging markets like Brazil and Argentina are not pairwise cointegrated with the US stock market. These new results have important implications for asset pricing and international portfolio strategy.

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Paper provided by HAL in its series Post-Print with number hal-00743767.

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Date of creation: 2013
Publication status: Published in Applied Economics, Taylor & Francis (Routledge), 2013, 45 (07), pp.817-828. <10.1080/00036846.2011.566207>
Handle: RePEc:hal:journl:hal-00743767
DOI: 10.1080/00036846.2011.566207
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00743767
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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