In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …

This paper is a response to the literature that tests for cointegration between national stock market indices. It … argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small …-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However …