US, UK and European Stock Market Integration

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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...

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Bibliographic Details
Main Authors:	Fraser, Patricia, OYEFESO, O.
Format:	Journal Article
Published:	Wiley-Blackwell Publishing Ltd. 2005
Subjects:	stock market integration multivariate cointegration long-run convergence single common stochastic trend permanent and transitory components
Online Access:	http://hdl.handle.net/20.500.11937/22747

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