An Analysis of the Interrelationships Among the Major World Stock Exchanges

SPYROS G. MAKRIDAKIS, STEVEN C. WHEELWRIGHT

    Research output: Contribution to journalArticlepeer-review

    73 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)195-215
    Number of pages21
    JournalJournal of Business Finance & Accounting
    Volume1
    Issue number2
    DOIs
    Publication statusPublished - 1 Jan 1974

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