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dc.contributor.authorFraser, Patriciaen_NZ
dc.contributor.authorOyefeso, Oluwatobien_NZ
dc.date.available2011-04-07T03:18:57Z
dc.date.copyright2001-11-02en_NZ
dc.identifier.citationFraser, P., & Oyefeso, O. (2001, November 2). The UK stock market’s relationship with US and European stock markets: Is the UK stock market snuggling-up to the US - or to Europe? University of Otago Department of Finance Seminar Series. Presented at the University of Otago, Finance department, Seminar.en
dc.identifier.urihttp://hdl.handle.net/10523/1516
dc.description.abstractUsing 27 years of data this paper considers short-run, bi-lateral, and long-run, linkages between the US, UK and nine European equity markets. Using time-varying parameter and multivariate cointegration modelling techniques, we show that since October 1992, UK stock market returns have become increasingly sensitive to perturbations in the US market relative to those in European markets. We also report evidence to suggest that over the long term stock markets are perfectly correlated and although deviations from this long-term trend do occur, with the possible exception of the US and UK market, they are rarely significant. For the US and UK markets, we found that the 1990s has tended to display a few small, but significant deviations, from the permanent component of stock prices. Overall, however, any gains from international diversification would tend to be short-lived.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_01.htmlen_NZ
dc.subjectconvergence; random-walk; transitory; persistence; Kalman Filter; multivariate cointegration; moving average representation; stochastic trend.en_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleThe UK stock market’s relationship with US and European stock markets: Is the UK stock market snuggling-up to the US - or to Europe?en_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages36en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints597en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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otago.event.dates2 November 2001en_NZ
otago.event.placeRoom 2.07, University of Otago, Dunedin, Otagoen_NZ
otago.event.typeotheren_NZ
otago.event.titleUniversity of Otago, Finance department, Seminaren_NZ
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