search query: @indexterm Cointegration / total: 76
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| Author: | Fraser, P. Oyefeso, O. |
| Title: | US, UK and European stock market integration |
| Journal: | Journal of Business Finance and Accounting
2005 : VOL. 32:1-2, p. 161-182 |
| Index terms: | Cointegration Stock markets Europe USA |
| Freeterms: | Long-run convergence |
| Language: | eng |
| Abstract: | This article investigates long-run convergence between U.S., U.K. and seven European stock markets. There is evidence to suggest that while real short-run diversification gains may occur, in general they tend to short-lived. However we also find that U.S. and U.K. markets are relatively less bound to a common trend, which would denote that increased stock market merger activity, and any transition to the European common currency by the U.K., may lead to relatively large stock market adjustments as markets adapt to these institutional changes. |
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