Integration Among G7 Equity Markets: Evidence from Ishares

32 Pages Posted: 31 May 2005

See all articles by Mahua Barari

Mahua Barari

Missouri State University - Department of Economics

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Svitlana Voronkova

Centre for European Economic Research (ZEW)

Date Written: May 2005

Abstract

We study the evolution of global equity market integration using US dollar denominated iShares. Designed to mimic the movements of MSCI indices, these securities provide an easy pool of international diversification products for the investor. As such they allow us to conduct an analysis of the largest equity markets comovements devoid of problems associated with trading restrictions, exchange rates fluctuations and non-synchronous trading. In contrast to most of the previous studies, we apply time varying methodology for the analysis of both short-term and long-term comovements that provide detailed evidence on the pattern and dynamics of the equity market linkages. We find evidence in favour of increasing conditional correlations for all of the markets since 2001. Time-varying and recursive cointegration tests provide somewhat weak evidence in favour of the presence of bivariate cointegration relationships, but stronger evidence in the multivariate case, suggesting limited diversification opportunities for the U.S. based investor in the long run.

Keywords: Stock Market Integration, G7 Stock markets, Cointegration, GARCH

JEL Classification: G10, G15

Suggested Citation

Barari, Mahua and Lucey, Brian M. and Voronkova, Svitlana, Integration Among G7 Equity Markets: Evidence from Ishares (May 2005). Available at SSRN: https://ssrn.com/abstract=731063 or http://dx.doi.org/10.2139/ssrn.731063

Mahua Barari

Missouri State University - Department of Economics ( email )

United States

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Svitlana Voronkova

Centre for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

HOME PAGE: http://www.zew.de/de/mitarbeiter/mitarbeiter.php3?action=mita&kurz=sva

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