International Stock Markets: A Co-integration Analysis

Eleftherios J. Thalassinos, Evagelos D. Politis
European Research Studies Journal, Volume XIV, Issue 4, 113-130, 2011
EOI: 10.11214/thalassinos.14.04.007

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.


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