TY - BOOK ID - 84538696 TI - Cointegration of International Stock Market Indices AU - Chou, Ray. AU - Ng, Victor. AU - Pi, Lynn. PY - 1994 SN - 1462336833 1452768412 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Asset prices KW - Capital market KW - Deflation KW - Finance KW - Finance: General KW - Financial markets KW - General Financial Markets: General (includes Measurement and Data) KW - Inflation KW - International capital markets KW - International Financial Markets KW - Macroeconomics KW - Price Level KW - Prices KW - Securities markets KW - Stock exchanges KW - Stock markets KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84538696 AB - In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets. ER -