IMPLICATIONS FOR NATIONAL EQUITY MARKET COMOVEMENTS: AN APPLICATION OF THE ENGLE‐GRANGER TWO‐STEP PROCEDURE
Lori L. Leachman
(Assistant Professor at Northern Arizona University.)
Bill Francis
(Assistant Professor at University of North Carolina at Charlotte.)
Ivan Marcott
(Economist Director at Nations Bank in Europe.)
88
Abstract
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.
Citation
Leachman, L.L., Francis, B. and Marcott, I. (1994), "IMPLICATIONS FOR NATIONAL EQUITY MARKET COMOVEMENTS: AN APPLICATION OF THE ENGLE‐GRANGER TWO‐STEP PROCEDURE", Studies in Economics and Finance, Vol. 15 No. 2, pp. 31-59. https://doi.org/10.1108/eb028712
Publisher
:MCB UP Ltd
Copyright © 1994, MCB UP Limited