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International shocks and interdependence: Cointegration results from the major equity markets

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Date Issued:
1995
Summary:
This study subjects the world's major stock markets to cointegration tests in an effort to respond to the common investigation that the major equity markets tend to move together with the U.S. market. The relationships between the United States and Canada, France, Germany, Japan, and the United Kingdom will be investigated. Not only will the entire period of 1970-1991.3 be examined, but the pre-1987 crash and the post-1987 crash periods as well. In addition, the Chow test will be employed to probe for any structural change occurrence relating to the worldwide stock market crash of October 1987. Evidence of cointegration is found to exist vis-a-vis the U.S. with the U.K. and Germany for the entire period; however, since the crash, only the U.K. and Japan have exhibited equilibrium relations. Absolutely no cointegration was detected for Canada nor France with the U.S. market.
Title: International shocks and interdependence: Cointegration results from the major equity markets.
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Name(s): Croce, Robert William.
Florida Atlantic University, Degree grantor
Yuhn, Ky-hyang, Thesis advisor
College of Business
Department of Economics
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Issuance: monographic
Date Issued: 1995
Publisher: Florida Atlantic University
Place of Publication: Boca Raton, Fla.
Physical Form: application/pdf
Extent: 62 p.
Language(s): English
Summary: This study subjects the world's major stock markets to cointegration tests in an effort to respond to the common investigation that the major equity markets tend to move together with the U.S. market. The relationships between the United States and Canada, France, Germany, Japan, and the United Kingdom will be investigated. Not only will the entire period of 1970-1991.3 be examined, but the pre-1987 crash and the post-1987 crash periods as well. In addition, the Chow test will be employed to probe for any structural change occurrence relating to the worldwide stock market crash of October 1987. Evidence of cointegration is found to exist vis-a-vis the U.S. with the U.K. and Germany for the entire period; however, since the crash, only the U.K. and Japan have exhibited equilibrium relations. Absolutely no cointegration was detected for Canada nor France with the U.S. market.
Identifier: 15228 (digitool), FADT15228 (IID), fau:12000 (fedora)
Collection: FAU Electronic Theses and Dissertations Collection
Note(s): College of Business
Thesis (M.A.)--Florida Atlantic University, 1995.
Subject(s): Stock exchanges
Stock Market Crash, 1987
International finance
Financial institutions, International
Held by: Florida Atlantic University Libraries
Persistent Link to This Record: http://purl.flvc.org/fcla/dt/15228
Sublocation: Digital Library
Use and Reproduction: Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU
Is Part of Series: Florida Atlantic University Digital Library Collections.