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IMPLICATIONS FOR NATIONAL EQUITY MARKET COMOVEMENTS: AN APPLICATION OF THE ENGLE‐GRANGER TWO‐STEP PROCEDURE

Lori L. Leachman, Bill B. Francis, Ivan Marcott

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Abstract

This paper tests for longrun relationships among the national equity markets of the G'7 countries using the Engle‐Granger two‐step procedure. Results indicate that cointegration is the norm among these seven equity markets in the post‐Bretton Woods period. Further, market adjustments to system equilibria are accelerating as one moves toward the present implying that markets are becoming more integrated.

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What this paper is about

This paper tests for longrun relationships among the national equity markets of the G'7 countries using the Engle‐Granger two‐step procedure. Results indicate that cointegration is the norm among these seven equity markets in the post‐Bretton Woods period. Further, market adjustments to system equilibria are accelerating as one moves toward the present implying that markets are becoming more integrated.

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Available abstract

This paper tests for longrun relationships among the national equity markets of the G'7 countries using the Engle‐Granger two‐step procedure. Results indicate that cointegration is the norm among these seven equity markets in the post‐Bretton Woods period. Further, market adjustments to system equilibria are accelerating as one moves toward the present implying that markets are becoming more integrated.

Key concepts: Cointegration, Economics, Equity (law), Monetary economics, Econometrics, Financial economics, Macroeconomics, Law

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