Are Daily Stock Price Indices in the Major European Equity Markets Cointegrated? Tests and Evidence

Krishna M. Kasibhatla, David Stewart, Swapan Sen and John Malindretos

The American Economist, 2006, vol. 50, issue 2, 47-57

Abstract: This study investigates short-run and long-run linkages among major West European equity markets in London (FTSE100), Frankfurt (DAX30), and Paris (CAC40). Long-run market co-movements of the three price indices are detected employing cointegration and vector error correction methodology. Empirical results of this study support the presence of one cointegrating vector and two common trends. CAC index is found to be weakly exogenous. The short-run dynamics indicate short-run causal links running both ways between FTSE and DAX.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:sae:amerec:v:50:y:2006:i:2:p:47-57

DOI: 10.1177/056943450605000205

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