An Empirical Analysis of Stock Prices in Major Asian Markets and the United States

Abstract

Abstract This study uses unit root and cointegration tests to examine the relationships among the stock markets in Hong Kong, South Korea, Singapore, Taiwan, Japan, and the United States. All the stock prices are analyzed both individually and collectively to test for international market efficiency. Unit roots in stock prices are found. Pairwise and higher‐order cointegration tests indicate that there is no evidence of cointegration among the stock prices. The findings suggest that the stock prices in major Asian markets and the United States are weak‐form efficient individually and collectively in the long run. It also implies that international diversification among the markets is effective.