Price Linkages Between the US,Japan and UK Stock Markets |
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Authors: | Email author" target="_blank">Christos?FlorosEmail author |
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Institution: | (1) Department of Economics, University of Portsmouth, Portsmouth Business School, Portsmouth, PO1 3DE, UK |
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Abstract: | This study presents an empirical analysis of the short- and long-term relationships among stock prices in the US, Japan and the UK. We re-examine the evidence of market linkages and cointegration between S&P 500, Nikkei 225 and FTSE-100 stock indices. The results suggest that mature markets are cointegrated, indicating a stationary long-run relationship. Furthermore, Granger causality tests show a bi-directional causality between Nikkei 225–FTSE-100, and unidirectional causalities between S&P 500–FTSE-100 and S&P 500–Nikkei 225. These findings suggest that the potential for diversifying risk by investing in mature markets is limited. |
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