Price linkages between the US, Japan and UK stock markets

Christos Floros

doi:10.1007/s11408-005-3384-2

Price linkages between the US, Japan and UK stock markets

Christos Floros

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	169-178
Number of pages	10
Journal	Financial Markets and Portfolio Management
Volume	19
Issue number	2
DOIs	https://doi.org/10.1007/s11408-005-3384-2
Publication status	Published - 2005

Access to Document

10.1007/s11408-005-3384-2

Cite this

@article{9af82b4f6ac24b0fb2258be689416d57,

title = "Price linkages between the US, Japan and UK stock markets",

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.",

author = "Christos Floros",

year = "2005",

doi = "10.1007/s11408-005-3384-2",

language = "English",

volume = "19",

pages = "169--178",

journal = "Financial Markets and Portfolio Management",

issn = "1555-4961",

publisher = "Springer New York",

number = "2",

}

TY - JOUR

T1 - Price linkages between the US, Japan and UK stock markets

AU - Floros, Christos

PY - 2005

Y1 - 2005

N2 - 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.

AB - 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.

U2 - 10.1007/s11408-005-3384-2

DO - 10.1007/s11408-005-3384-2

M3 - Article

SN - 1555-4961

VL - 19

SP - 169

EP - 178

JO - Financial Markets and Portfolio Management

JF - Financial Markets and Portfolio Management

IS - 2

ER -

Price linkages between the US, Japan and UK stock markets

Abstract

Access to Document

Fingerprint

Cite this