TY - JOUR
T1 - An Analysis of the Interrelationships Among the Major World Stock Exchanges
AU - MAKRIDAKIS, SPYROS G.
AU - WHEELWRIGHT, STEVEN C.
PY - 1974/1/1
Y1 - 1974/1/1
N2 - The method of principal component is used in this paper to analyse the interrelationship among the world's major stock exchanges. The major finding is that the interrelationship is unstable over time. This finding proves that any ex ante prediction of price indices is impossible, and it suggests that the indices of world equity markets can move in a random walk fashion. The consequences to international portfolio diversification should be obvious.
AB - The method of principal component is used in this paper to analyse the interrelationship among the world's major stock exchanges. The major finding is that the interrelationship is unstable over time. This finding proves that any ex ante prediction of price indices is impossible, and it suggests that the indices of world equity markets can move in a random walk fashion. The consequences to international portfolio diversification should be obvious.
UR - http://www.scopus.com/inward/record.url?scp=84978552343&partnerID=8YFLogxK
U2 - 10.1111/j.1468-5957.1974.tb00859.x
DO - 10.1111/j.1468-5957.1974.tb00859.x
M3 - Article
AN - SCOPUS:84978552343
SN - 0306-686X
VL - 1
SP - 195
EP - 215
JO - Journal of Business Finance & Accounting
JF - Journal of Business Finance & Accounting
IS - 2
ER -