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Linkages between the US and European equity markets: Further evidence from cointegration tests

Kanas, Angelos (1998) Linkages between the US and European equity markets: Further evidence from cointegration tests. Applied Financial Economics, 8 (6). pp. 607-614. ISSN 0960-3107. (doi:10.1080/096031098332646) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41182)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
https://doi.org/10.1080/096031098332646

Abstract

The paper employs the multivariate trace statistic PÌ?z, the Johansen method, and the recently proposed Bierens nonparametric approach to test for pairwise cointegration between the US and each of the six largest European equity markets, namely those of the UK, Germany, France, Switzerland, Italy, and the Netherlands. The analysis covers the period 03/01/83-29/11/96. The results from these tests are robust and consistent in suggesting that the US market is not pairwise cointegrated with any of the European markets, which is in contrast to previous evidence on the linkages between the US and European markets. This finding implies that there exist potential long-run benefits in risk reduction from diversifying in US stocks and stocks in any of the major European markets.

Item Type: Article
DOI/Identification number: 10.1080/096031098332646
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Tracey Pemble
Date Deposited: 23 May 2014 09:47 UTC
Last Modified: 09 Mar 2023 11:33 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41182 (The current URI for this page, for reference purposes)

University of Kent Author Information

Kanas, Angelos.

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