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| Author: | Lim, E. S. Gallo, J. G. Swanson, P. E. |
| Title: | The relationship between international bond markets and international stock markets. |
| Journal: | International Review of Financial Analysis
1998 : VOL. 7:2, p. 181-190 |
| Index terms: | International capital market Bond markets Stock markets |
| Language: | eng |
| Abstract: | The authors investigate interrelationships between international bond and international stock markets in 1988-1993 employing the Morgan Stanley Capital International World index as a proxy for international equity markets and the Salomon Brothers World Bond index as a proxy for international bond markets. Using cointegration and Granger causality methodology, they find that bidirectional causality exists between stock market returns and bond market returns and that international markets were more inefficient during the first half of the study period than during the second half. |
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