An empirical investigation of the comovement between stock market indexes
The Johansen-Juselius cointegration method and the common serial correlation feature test were used to empirically investigate the efficiency of the US and foreign stock markets. The US stock market indexes used were the Standard and Poor's 500 stock index, Wilshire 500 index and the NASDAQ index. The Hang Seng index, Footsie index and the Nikkei index were used to proxy world stock market indexes. Results revealed on inefficiency of the stock markets in most instances. However, the Footsie index as compared to the three major US indices was not jointly efficient.
Publication Name: Studies in Economics and Finance
Stochastic trends in stock prices: evidence from Latin American markets
Research using data from Jan 1989 to Dec 1993 indicates a long-run relationship between the United States stock market index and six Latin American indices. The stated indices showed significant causality from error-correction results; the six countries include Argentina, Brazil, Chile, Colombia, Mexico and Venezuela.
Publication Name: Journal of Macroeconomics
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