This paper investigates the issue of commonality among international stock markets. In order to explore whether stock price components are common among international stock market prices, the present study employed the cointegration and cofeature methodology. The major findings can be summarized as follows. First, stock prices and output follow a mixture process of a random-walk and a stationary component. Second, the G7 stock markets have shown various patterns of persistence in stock prices. Stock market indices in Canada, the U.K., and the U.S. display stronger stationary components, while permanent components seem to be dominant in France, Germany, Italy, and Japan. Third, all G7 stock markets share a temporary component as a common factor, while in general the permanent components are not shared. Fourth, Japan appears relatively segregated from other markets. A major implication is that the G7 stock markets are not fully integrated but rather partially integrated.
Keyword: comovement, cointegration, cofeature, variance ratio, long memory, R/S statistic, GMM
[2005년 제 3차] Common Stochastic Properties in Stock Price Compone
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2005-08-22
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