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Increasing Integration Between the United States and Other International Stock Markets? : A Recursive Cointegration Analysis

Author

Listed:
  • JIAN YANG
  • MOOSA M. KHAN
  • LUCILLE POINTER

Abstract

This paper examines whether long-run integration between the United States and many international stock markets has strengthened over time, with special attention paid to the impact of the abolition of capital control in these markets and the 1987 international stock market crash. The results show that during most of the thirty-two-year sample period (January 1970-December 2001), there exists no long-run relationship between most of these markets and the United States. However, there is evidence of recent increasing integration between many smaller markets and the United States while no such pattern emerges for larger markets including Japan, the United Kingdom, and Germany, which suggests long-run benefits to U.S. investors of diversifying into these larger markets. Moreover, there is no marked change in the degree of integration between any of these stock markets and the United States that can be apparently associated with the abolition of capital control or the 1987 international stock market crash.

Suggested Citation

  • Jian Yang & Moosa M. Khan & Lucille Pointer, 2003. "Increasing Integration Between the United States and Other International Stock Markets? : A Recursive Cointegration Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 39(6), pages 39-53, November.
    • Handle: RePEc:mes:emfitr:v:39:y:2003:i:6:p:39-53
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    Citations

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    Cited by:

    1. Mahfuzul Haque & Hannarong Shamsub, 2015. "Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets," IJFS, MDPI, vol. 3(4), pages 1-30, December.
    2. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.
    3. Manu K. S. & Surekha Nayak & Rameesha Kalra, 2022. "Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets," Vision, , vol. 26(2), pages 181-192, June.
    4. Berument Hakan & Akdi Yilmaz & Atakan Cemal, 2005. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-14, September.
    5. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    6. EVRIM MANDACI, Pinar & CAGLI, Efe Caglar, 2016. "Who Drives Whom? Investigating The Relationship Between The Major Stock Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(2), pages 6-24.
    7. Brian M. Lucey, QiYu Zhang* School of Business, Trinity College Dublin, Ireland, 2009. "Emerging Markets Capital Structure and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp305, IIIS.
    8. Yushi Yoshida, 2009. "Financial crisis, exchange rate and stock market integration," Discussion Papers 38, Kyushu Sangyo University, Faculty of Economics.
    9. Demian, Calin-Vlad, 2011. "Cointegration in Central and East European markets in light of EU accession," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 144-155, February.
    10. Saif Siddiqui, 2009. "Stock Markets Integration: Examining Linkages between Selected World Markets," Vision, , vol. 13(1), pages 19-30, January.
    11. Zada, Najeeb & Masih, Mansur, 2017. "Exploring the relationship between the Malaysian islamic index and international islamic indices," MPRA Paper 102809, University Library of Munich, Germany.
    12. Switzer, Lorne N. & Tahaoglu, Cagdas, 2015. "The benefits of international diversification: market development, corporate governance, market cap, and structural change effects," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 76-97.
    13. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    14. Roko Pedisic, 2022. "Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 59-78.
    15. Mustapher Faque & Umit Hacioglu, 2021. "Investigating the impact of Covid-19 pandemic on stock markets:Evidence from global equity indices," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(7), pages 199-219, October.

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