Home > Research > Publications & Outputs > Some Evidence on the Interdependence of Nationa...

Research

Associated organisational unit

Links

Text available via DOI:

View graph of relations

Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification. / Byers, J.D.; Peel, David.
In: Applied Financial Economics, Vol. 3, No. 3, 1993, p. 239-242.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Byers, JD & Peel, D 1993, 'Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification', Applied Financial Economics, vol. 3, no. 3, pp. 239-242. https://doi.org/10.1080/758535729

APA

Byers, J. D., & Peel, D. (1993). Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification. Applied Financial Economics, 3(3), 239-242. https://doi.org/10.1080/758535729

Vancouver

Byers JD, Peel D. Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification. Applied Financial Economics. 1993;3(3):239-242. doi: 10.1080/758535729

Author

Byers, J.D. ; Peel, David. / Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification. In: Applied Financial Economics. 1993 ; Vol. 3, No. 3. pp. 239-242.

Bibtex

@article{469be749579a4986b77c448d6b6329b2,
title = "Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification",
abstract = "Gains from international portfolio diversification may be limited if national stock markets are cointegrated. In addition, the implied Granger-causality would be consistent with inefficiency. This possibility is discussed and the relationships between stock market indices of the US, the UK, Japan, West Germany and the Netherlands are investigated using bivariate and multivariate techniques. Contrary to some earlier empirical results, with the exception of the UK and Japan, there is no convincing evidence that international stock markets were cointegrated in the period following the abolition of exchange controls in the UK.",
author = "J.D. Byers and David Peel",
year = "1993",
doi = "10.1080/758535729",
language = "English",
volume = "3",
pages = "239--242",
journal = "Applied Financial Economics",
issn = "0960-3107",
publisher = "Routledge",
number = "3",

}

RIS

TY - JOUR

T1 - Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification

AU - Byers, J.D.

AU - Peel, David

PY - 1993

Y1 - 1993

N2 - Gains from international portfolio diversification may be limited if national stock markets are cointegrated. In addition, the implied Granger-causality would be consistent with inefficiency. This possibility is discussed and the relationships between stock market indices of the US, the UK, Japan, West Germany and the Netherlands are investigated using bivariate and multivariate techniques. Contrary to some earlier empirical results, with the exception of the UK and Japan, there is no convincing evidence that international stock markets were cointegrated in the period following the abolition of exchange controls in the UK.

AB - Gains from international portfolio diversification may be limited if national stock markets are cointegrated. In addition, the implied Granger-causality would be consistent with inefficiency. This possibility is discussed and the relationships between stock market indices of the US, the UK, Japan, West Germany and the Netherlands are investigated using bivariate and multivariate techniques. Contrary to some earlier empirical results, with the exception of the UK and Japan, there is no convincing evidence that international stock markets were cointegrated in the period following the abolition of exchange controls in the UK.

U2 - 10.1080/758535729

DO - 10.1080/758535729

M3 - Journal article

VL - 3

SP - 239

EP - 242

JO - Applied Financial Economics

JF - Applied Financial Economics

SN - 0960-3107

IS - 3

ER -