International stock markets : a co-integration analysis

Abstract

This study investigates the degree of co-integration between five major European stock markets and five major non European stock markets. The results show that all five major European stock markets are co-integrated either positively or negatively, while among the five major non European the Canadian, the Japanese and the Singapore are non cointegrated with the others. The results point towards a decreasing number of common stochastic trends influencing the stock markets, i.e. the degree of co-integration between the European stock markets has been increased during the recent decade.