International Stock Markets: A Co-integration Analysis

El Thalassinos () and Evangelos Politis ()

European Research Studies Journal, 2011, vol. XIV, issue 4, 113-130

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.

Keywords: Co-integration Analysis; Stock Markets; Stochastic Trends (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:xiv:y:2011:i:4:p:113-130

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