Common stochastic trends among the Cyprus stock exchange and the ASE, LSE and NYSE

Abstract

Common stochastic trends among major international stock price indices have been an intensively analysed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange, and three mature equity markets, namely the Athens Stock Exchange (ASE), the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE). © 2008 The Authors. Journal compilation © 2008 Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research.