Testing for Long-Run Comovement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean

Troy Lorde, B Francis and A Greene

Economic Issues Journal Articles, 2009, vol. 14, issue 2, 55-80

Abstract: This study investigates comovement, common features and efficiency in CARICOM stock markets. The stock markets of Barbados, Jamaica and Trinidad and Tobago are examined for the period 1991:1-2006:12, using the techniques of cointegration and common feature testing. No evidence is found of long-run or short-run comovement, or common features. These findings imply that (1) the BSE, JSE and TTSE are weakly efficient; (2) markets are segmented; and (3) there may be benefits from regional diversification of asset portfolios.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eis:articl:209lorde

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