Johansen Cointegration and Granger Causality analysis were used to test the long-run and short-run relationship among the six …

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 …