DeFusco, Richard A; Geppert, John M; Tsetsekos, George P - In: The Financial Review 31 (1996) 2, pp. 343-63
In this paper we use cointegration tests to examine the long-run diversification potential of 13 emerging capital markets. The Johansen and Johansen and Juselius cointegration procedures are applied to the U.S. and 13 emerging capital markets in three geographical regions of the world. None of...