This paper uses recent developments in the theory of cointegration to provide new methods of testing the linkage and dynamic interactions among stock market movements. Our findings are in sharp contrast with previous research which discovered strong interdependence among national stock markets prior to October 1987. For the post-October 1987 period, however, our results show that the degree of international co-movements among stock price indices has increased substantially, with the Nikkei index the only exception. Furthermore, the US stock market is found to have a considerable impact on the French, German and UK markets in the post-crash period. We also find the response of the French, German and UK markets to US stock market innovations to be consistent with the view of cross-border informationally efficient stock markets. Finally, we find the Japanese equity market performance to have no links with both the US stock market and the stock markets in France, Germany and UK during the pre-and post-October crash period.

International stock market linkages: Evidence from the pre- and post-October 1987 period

A vector error correction model of the Singapore stock market

This paper finds that the returns of the world's 14 major stock markets are not normally distributed, and that the correlation matrix of these stock markets was stable during the January 1988–December 1993 time period Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio consisting of the choices of 14 international stock indexes The empirical findings suggest that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of the optimal portfolio The evidence also indicate that investors trade expected return of the portfolio for skewness

A. Christofi

Papers

The Inter-Temporal Stability of International Stock Market Relationships: Another View