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:
Journal Article
Journal or Publication Title:
Applied Financial Economics
Uncontrolled Keywords:
/dk/atira/pure/core/keywords/economics
Subjects:
?? economicsfinanceeconomics and econometricshb economic theory ??
ID Code:
56414
Deposited By:
Deposited On:
31 Jul 2012 10:13
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jul 2024 13:03