https://isiarticles.com/bundles/Article/pre/pdf/12904.pdf

International equity market integration: Theory, evidence and implications

The paper employs the multivariate trace statistic [Pcirc]z, the Johansen method, and the recently proposed Bierens nonparametric approach to test for pairwise cointegration between the US and each of the six largest European equity markets, namely those of the UK, Germany, France, Switzerland, Italy, and the Netherlands. The analysis covers the period 03/01/83–29/11/96. The results from these tests are robust and consistent in suggesting that the US market is not pairwise cointegrated with any of the European markets, which is in contrast to previous evidence on the linkages between the US and European markets. This finding implies that there exist potential long-run benefits in risk reduction from diversifying in US stocks and stocks in any of the major European markets.

Linkages between the us and european equity markets : further evidence from cointegration tests

This article investigates both the static and dynamic interdependence of the stock markets of Indonesia, Malaysia, the Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany, and the United States. Using data from 1990 to 2001, the paper employs both correlation and co-integration analysis to describe the behaviour of the above markets, both before and after the 1997 Asian financial crisis. Examination of stock market returns, using correlation analysis, reveals an increase in the interdependendes (increased correlation) across the Southeast Asian stock markets in the aftermath of the crisis. Both multivariate andpairwise co-integration tests are carried outfor all the above stock markets. Although there is evidence of integration between the Southeast Asian stock markets, overall the results suggest that there has been no significant increase in the integration between the Southeast Asian stock markets during the post-crisis period. With a few exceptions, there is little evidence to indicate the existence ofany co-integrating vectors in either the multivariate or pairwise co-integration tests.

Southeast Asian Stock Market Linkages: Evidence from Pre- and Post-October 1997

Benefits of diversifying investments into emerging markets with time-varying correlations: An Australian perspective

Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests

The benefits available from international equity diversification to Australian investors for the period 1970–92 are analysed using monthly index data for 16 countries supplied by Morgan Stanley Capital International. The cointegration framework is utilized and results from the standard Engle—Granger two-step ordinary least squares procedure are compared with those from the Johansen (1988) maximum likelihood procedure. It is found that, as in other recent work (Taylor and Tonks, 1989; Andrade, Clare and Thomas, 1991), the two techniques lead to different conclusions in certain cases. It is also found that, as in Kasa (1992), there is evidence of cointegration among a subset of the indices considered. A further finding of interest to the applied worker is that the results in the Johansen procedure are sensitive to the VAR specification and we believe that Hall's (1991) warning regarding the reporting of tests from this procedure is valid.

G. Macdonald

Papers

The long-run gains from international equity diversification: Australian evidence from cointegration tests