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 …

Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree during the …

Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of … theory, as well as accounting literature, we find evidence of greater idiosyncratic influences in the pricing of Asia’s stock … stock pricing, which suggests that improvements in the regulation of securities markets in Asia could enhance the role of …

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 …

means of co-integration tests. The results suggest that at least for two markets profitable trading rules can be developed …