Faculty Scholarship 1994 - Present

Inter-Temporal Stability in the Long-Term Co-Movements of the World's Stock Markets

In a previous study (Journal of Banking and Finance, 1989), we provided empirical evidence to show that there was inter-temporal stability in the long-term co-movements of international stock markets before 1987. In this study, we provide new empirical evidence to show that inter-temporal stability in the long-term co-movements patterns of the World's major stock markets has changed significantly since 1987. Box's M statistic is used to test the long-term inter-temporal stability of the correlation matrix of stock market index returns and principal components analysis is used to study the long-term co-movement patterns of the stock markets.