01850cas a2200277 a 4500 AALejournalIMF002240 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451950700 1018-5941 BD-DhAAL BD-DhAAL Chou, Ray. Cointegration of International Stock Market Indices / Ray Chou, Victor Ng, Lynn Pi. Washington, D.C. : International Monetary Fund, 1994. 1 online resource (16 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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 country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets. Mode of access: Internet United States imf Ng, Victor. Pi, Lynn. IMF Working Papers; Working Paper ; No. 1994/094 Full text available on IMF http://elibrary.imf.org/view/journals/001/1994/094/001.1994.issue-094-en.xml IMF e-Library