Price linkages between the US, Japan and UK stock markets

Christos Floros

Research output: Contribution to journalArticlepeer-review

Abstract

This study presents an empirical analysis of the short- and long-term relationships among stock prices in the US, Japan and the UK. We re-examine the evidence of market linkages and cointegration between S&P 500, Nikkei 225 and FTSE-100 stock indices. The results suggest that mature markets are cointegrated, indicating a stationary long-run relationship. Furthermore, Granger causality tests show a bi-directional causality between Nikkei 225–FTSE-100, and unidirectional causalities between S&P 500–FTSE-100 and S&P 500–Nikkei 225. These findings suggest that the potential for diversifying risk by investing in mature markets is limited.
Original languageEnglish
Pages (from-to)169-178
Number of pages10
JournalFinancial Markets and Portfolio Management
Volume19
Issue number2
DOIs
Publication statusPublished - 2005

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