International equality of stock market returns

Real returns, excess returns, and nominal returns from stock markets in 11 developed countries are compared for the difference in their means and variances by using a new procedure to test their equality and to determine if one stock market dominates another. The sample period from January 1973 to September 1989 is divided into three subperiods. Results show that stock markets in the United States and Germany dominate those in the other countries in early sub-periods, but not in a recent sub-period, to indicate an increasing capital market integration. Integration with Germany has increased more than with the United States, due possibly to the European Monetary System.