Johansen Cointegration Results for Thirteen Equity Markets
Source: Authors’ calculations.Notes: All results are derived from the Johansen (1998) technique, using five lagged difference terms. The number of countries is denoted by n; the number of independent cointegrating vectors is denoted by r. While the regional breakup of countries must sum to the total number of countries (n), the number of regional long-run equilibrium relationships (r) need not sum to the total, as there may be cross-regional equilibrium relationships. “All” denotes the thirteen emerging and industrial equity markets: Jordan, Korea, Malaysia, Thailand, Mexico, Brazil, U.S., Japan, U.K., France, Germany, Spain and Australia. “Americas” denotes the three American equity markets: U.S., Mexico and Brazil. “Europe+1” denotes the five European and Middle Eastern equity markets: U.K., France, Germany, Spain, and Jordan. “Asia Pacific I” denotes the five Asia Pacific equity markets: Japan, Australia, Korea, Malaysia, and Thailand. “Asia Pacific II” denotes the six Asia Pacific equity markets: U.S., Japan, Australia, Korea, Malaysia, and Thailand. The full sample period runs from 1989 week 17 to 1995 week 9; the “control” subperiod runs from 1989 week 17 to 1990 week 52; and the “post-control” subperiod runs from 1991 week 1 to 1995 week 9.
|Countries||1989 W17 - 1995 W9||1989 W17 - 1990 W52||1991 W1 - 1995 W9|
|Asia Pacific I||5||2||5||3||5||2|
|Asia Pacific II||6||3||6||4||6||3|