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

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.