Cointegration of International Stock Markat Indices

16 Pages Posted: 15 Feb 2006

See all articles by Victor K. Ng

Victor K. Ng

International Monetary Fund (IMF) - Research Department; National Bureau of Economic Research (NBER)

Lynn Pi

The Institute of Financial Planners of Hong Kong

Date Written: August 1994

Abstract

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.

JEL Classification: G15

Suggested Citation

Ng, Victor K. and Pi, Lynn, Cointegration of International Stock Markat Indices (August 1994). IMF Working Paper, Vol. , pp. 1-16, 1994. Available at SSRN: https://ssrn.com/abstract=883834

Victor K. Ng

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-7671 (Phone)
202-623-6339 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Lynn Pi

The Institute of Financial Planners of Hong Kong ( email )

1502-3, Wing On House
71 Des Voeux Road Central
Hong Kong
+852 2973 6115 (Phone)
+852 2973 6726 (Fax)

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