search query: @author Chan, K. C. / total: 7
reference: 2 / 7
| Author: | Chan, K. C. Gup, B. E. Pan, M. |
| Title: | International stock market efficiency and integration: A study of eighteen nations |
| Journal: | Journal of Business Finance and Accounting
1997 : JUL, VOL. 24:6, p. 803-813 |
| Index terms: | UNIT ROOTS COINTEGRATION TESTS STOCK MARKETS INTERNATIONAL BUSINESS |
| Language: | eng |
| Abstract: | This paper investigates the relationships among stock prices in 8 national stock markets by using cointegration and unit root tests. The markets were analyzed individually and collectively in regions to test for market efficiency. The results suggest that the world equity markets are weak-form efficient. The results of cointegration tests show that there are only a small number of important cointegrating vectors over the last three decades, but the number is increasing after 1987 October market crash, a result which is consistent with the contagion effect. |
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