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Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets

机译：经济相互依存和共同的随机趋势：动车组和非动车组股票市场的比较分析

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摘要

Whether economic interdependence among countries is a contributing factor to cointegration and common stochastic trends in international stock markets is indiscernible due to contradictory results from prior empirical work. This study aims to add clarity to this issue through a more distinct grouping of countries and methodological enhancements. A comparative analysis of cointegration is conducted between stock market price indices of major Economic and Monetary Union (EMU) and non-EMU countries. The conventional Johansen methodology is augmented with several diagnostic techniques (that have not been all inclusive in previous studies) to ensure the robustness of test results. Major findings pertinent to investors and policymakers are that economic interdependence appears to be the important contributing factor and that the U.S. stock market does not exert influences on long-run performances of other included stock markets. Furthermore, while the UK is not an EMU member, it may be viewed as a quasi EMU participant due to its stock market being cointegrated with and yet one of the common stochastic trends (besides those of Germany, Italy, and the Netherlands) within the EMU stock markets under investigation.
机译：由于先前的实证研究结果相互矛盾，因此无法确定国家之间的经济相互依存关系是否是协整和国际股票市场共同随机趋势的因素。这项研究旨在通过更独特的国家/地区组合和方法上的改进来增加此问题的清晰度。主要经济货币联盟（EMU）和非EMU国家的股票市场价格指数之间进行了协整比较分析。常规的Johansen方法学增加了几种诊断技术（在以前的研究中并未全部包含在内），以确保测试结果的鲁棒性。与投资者和政策制定者相关的主要发现是，经济相互依存似乎是重要的促成因素，美国股票市场并未对其他包括股票市场的长期表现产生影响。此外，尽管英国不是欧洲货币联盟的成员国，但由于其股票市场与欧洲货币联盟是共同的随机趋势（德国，意大利和荷兰除外）之一，因此它可能被视为准欧洲货币联盟的参与者。动车组股票市场正在调查中。

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