The Stock Market Integration of the US, Canadian, and the Japanese Markets: Before and After the Lehman Shock in the US

Chikashi Tsuji

Abstract


The time-series developments of comovementsin stock returns between the Japanese markets and the US or Canadian markets are empirically examined. We investigate these covariations by dividing full sample periods into several sub-periods that are before and after the US Lehman Shock. In this paper, it is demonstrated that the connections of stock returns of the Japanese markets and the US or Canadian equity markets recently gradually increased. In addition, it is also clarified that in the sub-period right after theLehman Shock, these connections between stock returns ofthe Japanese and the US or Canadian equity markets highly increased.


Full Text:

PDF


DOI: http://dx.doi.org/10.5296/ber.v2i1.1976

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

To make sure that you can receive messages from us, please add the 'macrothink.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.

Copyright © Macrothink Institute   ISSN 2162-4860