Abstract
ABSTRACTBased on a theory proposed for the possible link between financial market integration and nonlinear cointegration, this study reinvestigates international stock market linkages by performing both conventional linear cointegration tests and newly developed rank tests for nonlinear cointegration. The stock price indexes of Australia, Japan, New Zealand, the United Kingdom and the United States are used, with daily data spanning from 29 May 1992 to 10 April 2001. Much more evidence of market integration emerges from nonlinear than linear cointegration analysis, suggesting that comovements among various national stock markets may well take nonlinear forms. Our findings challenge the conclusion of market segmentation reached in some previous studies that only conducted linear cointegration analysis.
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