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 …

Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence … whether these indices are cointegrated. We show that while heteroscedasticity alone is able to mislead cointegration tests, it … features. We conclude that cointegration is not a suitable method to analyze stock market interdependence …