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

Research output: Contribution to Journal/MagazineJournal articlepeer-review

<mark>Journal publication date</mark>1993
<mark>Journal</mark>Applied Financial Economics
Issue number3
Number of pages4
Pages (from-to)239-242
Publication StatusPublished
<mark>Original language</mark>English


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.