US, UK and European Stock Market Integration

Patricia Fraser, O. Oyefeso

    Research output: Contribution to journalArticle

    24 Citations (Scopus)

    Abstract

    This paper examines long-run convergence between US, UK and seven European stock markets. We report evidence to suggest that while real short-run diversification gains may occur, in general they tend to be short-lived. However we also find that US and UK markets arc relatively less bound to L common trend, which would imply that increased stock market merger activity, and any transition to the European common currency by the UK, may lead to relatively large stock market adjustments as markets adapt to these institutional changes.

    Original languageEnglish
    Pages (from-to)161-181
    Number of pages20
    JournalJournal of business finance & accounting
    Volume32
    Issue number1 & 2
    DOIs
    Publication statusPublished - Jan 2005

    Keywords

    • stock market integration
    • long-run convergence
    • multivariate cointegration
    • single common stochastic trend
    • permanent and transitory components
    • COMMON STOCHASTIC TRENDS
    • COINTEGRATION
    • TESTS

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