An empirical investigation of the comovement between stock market indexes
Article Abstract:
The Johansen-Juselius cointegration method and the common serial correlation feature test were used to empirically investigate the efficiency of the US and foreign stock markets. The US stock market indexes used were the Standard and Poor's 500 stock index, Wilshire 500 index and the NASDAQ index. The Hang Seng index, Footsie index and the Nikkei index were used to proxy world stock market indexes. Results revealed on inefficiency of the stock markets in most instances. However, the Footsie index as compared to the three major US indices was not jointly efficient.
Publication Name: Studies in Economics and Finance
Subject: Economics
ISSN: 1086-7376
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
Stochastic trends in stock prices: evidence from Latin American markets
Article Abstract:
Research using data from Jan 1989 to Dec 1993 indicates a long-run relationship between the United States stock market index and six Latin American indices. The stated indices showed significant causality from error-correction results; the six countries include Argentina, Brazil, Chile, Colombia, Mexico and Venezuela.
Publication Name: Journal of Macroeconomics
Subject: Economics
ISSN: 0164-0704
Year: 1997
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The political economy of gender disparity in musical markets
- Abstracts: Export channel dynamics: an empirical investigation. Wage versus efficient bargaining in oligopoly
- Abstracts: Managerial incentives and the structure of management buyouts. Financial fragility and economic fluctuations
- Abstracts: Nonemptiness of the largest consistent set. The speed of information revelation in a financial market mechanism
- Abstracts: Assisting in the transformation of the Russian economy. A homegrown loan program