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Pré-Publication, Document De Travail Année : 2011

Long-run relationships between international stock prices: further evidence from fractional cointegration tests

Résumé

The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this paper shows that France, Germany, Hong Kong, and Japan stock prices indices are pairwise fractionally cointegrated with US stock prices. Equilibrium errors are mean reverting with half-life lying between 2 and 12 days. It is worthwhile noting that emerging markets like Brazil and Argentina are not pairwise cointegrated with the US stock market. These new results have important implications for asset pricing and international portfolio strategy.
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Dates et versions

halshs-00567472 , version 1 (21-02-2011)

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  • HAL Id : halshs-00567472 , version 1

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Marcel Aloy, Mohamed Boutahar, Karine Gente, Anne Peguin-Feissolle. Long-run relationships between international stock prices: further evidence from fractional cointegration tests. 2011. ⟨halshs-00567472⟩
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