The interrelationship among the international stock markets

Without doubt from an economic point of view, the stock markets of the principal countries are more and more related among them. Though this affirmation has more clearly arisen as a truth from the October 1987 crash, initially one of the most surprising things was the strange similarity among the behaviour of the main stock markets of the world since that date. It was said that if in New York the big investors sold their stocks (and, for this reason, their price would go down) they should reinvest the money obtained in that operation in others markets, and this last should rise their prices. But, surprisingly, nothing of this seems to have occurred, and the principal markets in the world behaved as one, although following the path pointed out by Wall Street. All shown in the previous paragraph induced us to study the present correlation between a series of returns that is made up by six stock markets (NYSE - Wall Street - Tokyo, London, Paris, Francfurt and Madrid), during the last three-months of the year 1987, trying to know the present relation among them.