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An Empirical Analysis of Stock Prices in Major Asian Markets and the United States
Author(s) -
Chan Kam C.,
Gup Benton E.,
Pan MingShiun
Publication year - 1992
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1992.tb01319.x
Subject(s) - cointegration , stock (firearms) , economics , stock market , financial economics , diversification (marketing strategy) , unit root , unit root test , pairwise comparison , monetary economics , econometrics , business , geography , mathematics , archaeology , marketing , context (archaeology) , statistics
This study uses unit root and cointegration tests to examine the relationships among the stock markets in Hong Kong, South Korea, Singapore, Taiwan, Japan, and the United States. All the stock prices are analyzed both individually and collectively to test for international market efficiency. Unit roots in stock prices are found. Pairwise and higher‐order cointegration tests indicate that there is no evidence of cointegration among the stock prices. The findings suggest that the stock prices in major Asian markets and the United States are weak‐form efficient individually and collectively in the long run. It also implies that international diversification among the markets is effective.