International Stock Market Efficiency and Integration: A Study of Eighteen Nations |
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| Authors: | Kam C Chan Benton E Gup & Ming-Shiun Pan |
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| Institution: | Associate Professor of Finance, School of Business and Technology, University of Wisconsin-Parkside,;Banking Chair and Professor of Finance, University of Alabama,;Professor of Finance, Department of Finance, Management Science and Information Systems, Shippensburg University |
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| Abstract: | This study examines the relationships among stock prices in eighteen national stock markets by using unit root and cointegration tests for the period 1961--92. All the markets were analyzed individually and collectively in regions to test for market efficiency. The results from unit root tests suggest that the world equity markets are weak-form efficient. The cointegration test results show that there are only a small number of significant cointegrating vectors over the last three decades. However, the number of significant cointegrating vectors increases after the October 1987 stock market crash, a result that is consistent with the contagion effect. |
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| Keywords: | unit root test cointegration test international stock market integration market efficiency contagion effect |
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