US, UK and European Stock Market Integration
| dc.contributor.author | Fraser, Patricia | |
| dc.contributor.author | OYEFESO, O. | |
| dc.date.accessioned | 2017-01-30T12:33:27Z | |
| dc.date.available | 2017-01-30T12:33:27Z | |
| dc.date.created | 2015-09-29T01:51:42Z | |
| dc.date.issued | 2005 | |
| dc.identifier.citation | Fraser, P. and OYEFESO, O. 2005. US, UK and European Stock Market Integration. Journal of Business Finance & Accounting. 32 (1): pp. 0306-686x. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/22747 | |
| dc.identifier.doi | 10.1111/j.0306-686X.2005.00591.x | |
| dc.description.abstract |
This paper examines long-run convergence between US, UK and seven European stock markets. We report evidence to suggest that while real short-run diversification gains may occur, in general they tend to be shortlived. However we also find that US and UK markets are relatively less bound to a common trend, which would imply that increased stock market merger activity, and any transition to the European common currency by the UK, may lead to relatively large stock market adjustments as markets adapt to these institutional changes. | |
| dc.publisher | Wiley-Blackwell Publishing Ltd. | |
| dc.subject | stock market integration | |
| dc.subject | multivariate cointegration | |
| dc.subject | long-run convergence | |
| dc.subject | single common stochastic trend | |
| dc.subject | permanent and transitory components | |
| dc.title | US, UK and European Stock Market Integration | |
| dc.type | Journal Article | |
| dcterms.source.volume | 32 | |
| dcterms.source.number | 1 | |
| dcterms.source.startPage | 0306 | |
| dcterms.source.endPage | 686x | |
| dcterms.source.issn | 0306-686X | |
| dcterms.source.title | Journal of Business Finance & Accounting | |
| curtin.accessStatus | Fulltext not available |