The Inter-Temporal Stability of International Stock Market Relationships: Another View

This paper examines the inter-temporal stability of the relationships among the national stock exchanges of the fourteen industrial countries from January 1959 to December 1978. The results obtained support the existence of both structure (necessary condition) and stability (sufficient condition) of...

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Bibliographic Details
Published in:Financial management 1983-12, Vol.12 (4), p.63-69
Main Authors: Philippatos, G. C., Christofi, A., Christofi, P.
Format: Article
Language:English
Subjects:
Correlation coefficients
Correlations
Diversification
Eigenvalues
Foreign exchange rates
Hypotheses
International
Investment horizon
Investments
Manycountries
Portfolio diversification
Principal components analysis
Randomness
Securities markets
Stability
Statistical analysis
Stock exchanges
Stock market indices
Stock markets
Studies
Citations: Items that cite this one
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Summary:This paper examines the inter-temporal stability of the relationships among the national stock exchanges of the fourteen industrial countries from January 1959 to December 1978. The results obtained support the existence of both structure (necessary condition) and stability (sufficient condition) of such relationships for investment horizons longer than two years, while tests for shorter periods yielded confounding outcomes. Additionally, the results point to the existence of international economic factors that contribute to the stability of the relationship. Hence, the results of earlier studies on ex ante gains from international diversification cannot be questioned on the grounds that the sufficient conditions are not satisfied.
ISSN:0046-3892
1755-053X
DOI:10.2307/3665270