 Stock Markets Integration: Examining Linkages between Selected World MarketsSaif Siddiqui Vision, 2009, vol. 13, issue 1, 19-30 Abstract: In recent years, globalisation, economic assimilation and integration among countries and their financial markets have increased interdependency among major world stock markets. This increased interdependency among the worldwide stock markets may have impacts on the global investors for their assets allocation decision and on the economic policies of economies for ensuring economic stability. Hence, there is a need to study the extent of integration among the world stock markets which is the objective of this paper. It examines the relationships between the selected Asian and the US stock markets over a period, 19/10/1999 to 25/04/2008, using daily closing data of twelve stock markets. Results of the present study show that stock markets under study are integrated. The degree of correlation between the markets, but Japan, varies between moderate to very high. Furthermore, it provided that no stock market is playing a very dominant role in influencing other markets. The US influence is not noticeable as in the earlier researches. It is expected that the results will be useful for the global investors in managing their international portfolios. Keywords: Stock Market Integration; Unit Root Test; Co-integration and Granger Causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:13:y:2009:i:1:p:19-30 DOI: 10.1177/097226290901300103 Access Statistics for this article More articles in Vision |
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