Long-run relationships between international stock prices: further evidence from fractional cointegration tests

Marcel Aloy, Mohamed Boutahar, Karine Gente () and Anne Peguin-Feissolle ()
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Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this paper shows that France, Germany, Hong Kong, and Japan stock prices indices are pairwise fractionally cointegrated with US stock prices. Equilibrium errors are mean reverting with half-life lying between 2 and 12 days. It is worthwhile noting that emerging markets like Brazil and Argentina are not pairwise cointegrated with the US stock market. These new results have important implications for asset pricing and international portfolio strategy.

Keywords: equity markets; fractional cointegration; long memory (search for similar items in EconPapers)
Date: 2011-02-21
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00567472v1
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Journal Article: Long-run relationships between international stock prices: further evidence from fractional cointegration tests (2013)
Working Paper: Long-run relationships between international stock prices: further evidence from fractional cointegration tests (2013)
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