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The Inter-Temporal Stability of International Stock Market Relationships: Another View
G. C. Philippatos, A. Christofi and P. Christofi
Vol. 12, No. 4 (Winter, 1983), pp. 63-69
Stable URL: https://www.jstor.org/stable/3665270
Page Count: 7
You can always find the topics here!Topics: Stock markets, Stock market indices, Correlation coefficients, Principal components analysis, Stock exchanges, Investment horizon, Eigenvalues, Portfolio diversification, Randomness
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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.
Financial Management © 1983 Financial Management Association International