US, UK and European Stock Market Integration
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 shortlived. However we also find that US and UK markets are relatively less bound to a com...
| Main Authors: | , |
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| Format: | Journal Article |
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Wiley-Blackwell Publishing Ltd.
2005
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/22747 |
| _version_ | 1848750957317324800 |
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| author | Fraser, Patricia OYEFESO, O. |
| author_facet | Fraser, Patricia OYEFESO, O. |
| author_sort | Fraser, Patricia |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 shortlived. However we also find that US and UK markets are relatively less bound to a 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. |
| first_indexed | 2025-11-14T07:45:05Z |
| format | Journal Article |
| id | curtin-20.500.11937-22747 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:45:05Z |
| publishDate | 2005 |
| publisher | Wiley-Blackwell Publishing Ltd. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-227472017-09-13T13:57:42Z US, UK and European Stock Market Integration Fraser, Patricia OYEFESO, O. stock market integration multivariate cointegration long-run convergence single common stochastic trend permanent and transitory components 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 shortlived. However we also find that US and UK markets are relatively less bound to a 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. 2005 Journal Article http://hdl.handle.net/20.500.11937/22747 10.1111/j.0306-686X.2005.00591.x Wiley-Blackwell Publishing Ltd. restricted |
| spellingShingle | stock market integration multivariate cointegration long-run convergence single common stochastic trend permanent and transitory components Fraser, Patricia OYEFESO, O. US, UK and European Stock Market Integration |
| title | US, UK and European Stock Market Integration |
| title_full | US, UK and European Stock Market Integration |
| title_fullStr | US, UK and European Stock Market Integration |
| title_full_unstemmed | US, UK and European Stock Market Integration |
| title_short | US, UK and European Stock Market Integration |
| title_sort | us, uk and european stock market integration |
| topic | stock market integration multivariate cointegration long-run convergence single common stochastic trend permanent and transitory components |
| url | http://hdl.handle.net/20.500.11937/22747 |