On the stability of long-run relationships between emerging and US stock markets Academic Article

abstract

• While most studies have found no cointegration between emerging and US stock markets, some recent studies do find a long-run relationship exists between these markets. In view of these mixed findings, this study examines the stability of long-run relationships between a number of emerging stock markets and the US stock market using recursive cointegration analysis. The results show that no long-run relationship exists between emerging markets and the US market over most of the sample period throughout 1997. However, we do find clear evidence of cointegration in response to the recent global emerging market crisis in 1997-1998. We conclude that significant crisis events can change the degree of cointegration between international stock markets and, therefore, need to be taken into account in studies of long-run relationships between international stock markets. 2003 Elsevier B.V. All rights reserved.

authors

• Kolari, James

published proceedings

• Journal of Multinational Financial Management

author list (cited authors)

• Yang, J., Kolari, J. W., & Sutanto, P. W.

citation count

• 13

complete list of authors

• Yang, Jian||Kolari, James W||Sutanto, Peter Wibawa

publication date

• July 2004

publisher

• Elsevier  Publisher

published in

• Journal of Multinational Financial Management  Journal

Digital Object Identifier (DOI)

• 10.1016/j.mulfin.2003.03.001

start page

• 233

end page

• 248

volume

• 14

issue

• 3

URL

• http%3A%2F%2Fdx.doi.org%2F10.1016%2Fj.mulfin.2003.03.001