IMF Working Papers

Cointegration of International Stock Market Indices

By Ray Yeu-Tien Chou, Victor Ng, Lynn K. Pi

August 1, 1994

Preview Citation

Format: Chicago

Ray Yeu-Tien Chou, Victor Ng, and Lynn K. Pi Cointegration of International Stock Market Indices, (USA: International Monetary Fund, 1994) accessed November 21, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.

Subject: Asset prices, Financial markets, International capital markets, Prices, Securities markets, Stock markets

Keywords: Asset prices, Augmented term, Integrating vector, Integration relationship, International capital markets, Market integration, North America, Price, Price series, Price variable, Securities markets, Short-run price dynamics, Stock market, Stock markets, Test statistics, WP

Publication Details

  • Pages:

    16

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 1994/094

  • Stock No:

    WPIEA0941994

  • ISBN:

    9781451950700

  • ISSN:

    1018-5941

You May Also Be Interested In...

Kiribati: Agricultural Subsidies for Copra: Improving Efficiency and Equity and Balancing Trade-offs

November 21, 2024

Unlocking Adaptation Finance in Emerging Market and Developing Economies

November 19, 2024

Quarterly Projection Model for the Bank of Ghana: Extensions and Applications

November 15, 2024

Foreign Exchange Intervention Under the Integrated Policy Framework: The Case of India

November 15, 2024