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Financial Integration of the European, North America, Asiatic and Japanese Stock Markets from 2003 to Present Times

Author

Listed:
  • Penco, Vittorio

    (Department of Mathematics, Brunel University, London, United Kingdom)

  • Lucas, Cormac

    (Department of Mathematics, Brunel University, London, United Kingdom)

Abstract

We apply an integration/segmentation analysis between the European (EU) market and the North America stock market (US and Canada), the Asian Stock Market (AS) and the Japanese (JP) market. The analysis is carried out from 2003 until the present time. We apply the Jorion and Schwartz (1986) methodology and extend the work of Brooks et al. (2009) using a simpler Capital Asset Price Model (CAPM) and the Market return downloaded from the Fama French website for the time period analysed. Our results in this empirical study show integration between the European portfolios and the US stock market and the Asian Portfolios and the US stock market in the full time period analysed. Although the methods applied in this paper have been already introduced in the literature, this is the first time that they are applied systematically to compare the integration and segmentation between different economies and a given portfolio set. This systematic approach helps to establish the conclusiveness of their forecasts.

Suggested Citation

  • Penco, Vittorio & Lucas, Cormac, 2024. "Financial Integration of the European, North America, Asiatic and Japanese Stock Markets from 2003 to Present Times," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 39(2), pages 344-372.
    • Handle: RePEc:ris:integr:0904
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    Keywords

    integration; segmentation;

    JEL classification:

    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • N10 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - General, International, or Comparative
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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