IMPLICATIONS FOR NATIONAL EQUITY MARKET COMOVEMENTS: AN APPLICATION OF THE ENGLE‐GRANGER TWO‐STEP PROCEDURE

This paper tests for longrun relationships among the national equity markets of the G'7 countries using the Engle‐Granger two‐step procedure. Results indicate that cointegration is the norm among these seven equity markets in the post‐Bretton Woods period. Further, market adjustments to system equilibria are accelerating as one moves toward the present implying that markets are becoming more integrated.

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Year of publication:	1994
Authors:	Leachman, Lori L. ; Francis, Bill ; Marcott, Ivan
Published in:	Studies in Economics and Finance. - MCB UP Ltd, ISSN 1755-6791, ZDB-ID 2070355-7. - Vol. 15.1994, 2, p. 31-59
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb028712 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10015013801