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Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification

Byers, J.D. and Peel, David (1993) Some Evidence on the Interdependence of National Stock Markets and the Gains from Portfolio Diversification. Applied Financial Economics, 3 (3). pp. 239-242. ISSN 0960-3107

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Abstract

Gains from international portfolio diversification may be limited if national stock markets are cointegrated. In addition, the implied Granger-causality would be consistent with inefficiency. This possibility is discussed and the relationships between stock market indices of the US, the UK, Japan, West Germany and the Netherlands are investigated using bivariate and multivariate techniques. Contrary to some earlier empirical results, with the exception of the UK and Japan, there is no convincing evidence that international stock markets were cointegrated in the period following the abolition of exchange controls in the UK.

Item Type: Article
Journal or Publication Title: Applied Financial Economics
Subjects: H Social Sciences > HB Economic Theory
Departments: Lancaster University Management School > Economics
ID Code: 56414
Deposited By: ep_importer_pure
Deposited On: 31 Jul 2012 11:13
Refereed?: Yes
Published?: Published
Last Modified: 09 Apr 2014 23:53
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/56414

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