Out

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QRFM
4,1
Literature review of stock market

integration: a global perspective
Anil Sharma and Neha Seth
Department of Management Studies,
Indian Institute of Technology Roorkee, Roorkee, India
84
Received April 2011
Revised July 2011
Accepted August 2011
Abstract
Purpose The purpose of this paper is to organize and take stock of the present situation of research
on stock market integration by reviewing the available literature, to provide quick and easy access for
future researchers. Another objective of the present study is to classify the literature and to provide the
comprehensive bibliography on stock market integration and to analyse the findings and results of the
studies taken into consideration for review.
Design/methodology/approach A range of sources were searched to review the past literature
on stock market integration and out of thousands of papers, 100 research papers form the sample for
the present study. These 100 research papers are classified on the basis of various variables to know
the status of research on the same topic.
Findings This paper classifies the past literature on stock markets integration and finds that the
research work on the same area has been increased during the recent time period, especially from 2005
to 2010 and coverage of stock market integration across emerging economies has increased in recent
years. The study revealed many other findings also.
Originality/value The present paper provides the collection, classification and comprehensive
bibliography on stock market integration, which may be helpful for academicians, practitioners and
future researchers when studying the existing research work, as well as for considering future
researches on the same subject area.
Keywords Stock markets, Research work, Bibliographies, Classification, Stock market integration
Paper type Literature review
Qualitative Research in Financial

Markets
Vol. 4 No. 1, 2012
pp. 84-122
q Emerald Group Publishing Limited
1755-4179
DOI 10.1108/17554171211213568
I. Introduction
Stock market integration can be defined as a condition in which stock markets in
different countries trend together and depict same expected risk adjusted returns. Two
markets are perfectly integrated if investors can pass from one market to another
without paying any extra costs and if there are possibilities of arbitration which
ensures the equivalence of stock prices on both markets (Jawadi and Arouri, 2008). The
issue of dynamic financial market integration among stock markets has become an
important topic in modern literature of financial economics that includes different
aspects of the interrelationship across stock markets. The internationalization of
securities markets attracts the attention of individual or institutional investors,
portfolio managers, researchers, practitioners and policy makers in view of recent
instability in investment levels and the global financial disorder, because their long
term investment decisions and policy implications depend on such research work. The
research on the degree or level of integration or linkages among the stock market
provides important implication on potential benefits of international diversification
and financial stability of an economy. Studying the degree of interdependence and
cointegration between stock markets round the world helps in improving the decision
making techniques and the international investor strategies. More interestingly, the
recent increase in international investors and the recent development of stock markets
and financial liberalization has caused such research work.
The concept of stock market integration gained importance during the 1980s but
most of the work has been done on this topic during past five to six years. Going
through the existing literature on stock market integration, we came to know that most
of the studies examined the integration among world stock markets only in a linear
framework using the usual correlation test as a tool for data analysis such as Hamao
(1990), Markellos and Siriopoulos (1997), Masih and Masih (1999), Chen et al. (2002),
Goh et al. (2005), Boujir and Lahrech (2008) and Mukhopadhyay (2009), whereas the
recent studies done by Hassan and Naka (1996), Masih and Masih (1997, 1999), Chang
and Nieh (2001), Karim and Gee (2006), Zhang (2009) and Karagoz and Ergun (2010)
concentrated mainly on newer econometric techniques, like Johansens cointegration
test, error correction mechanism, Granger causality test, variance decomposition (VDC)
function, impulse response function (IRF), etc. to test the integration hypotheses like.
Majority of research work on the concept of stock market integration was done in
USA (Hamao et al., 1990; Bekaert and Campbell, 1995; Ewing et al., 1999; Johnson and
Soenen, 2002; Majid et al., 2006; Tai, 2007), then the focus shifted to other countries, like
UK (Malkamaki et al., 1993; Markellos and Siriopoulos, 1997; Phylaktis and Ravazzolo,
2005; Wang and Moore, 2008), India (Ahmad et al., 2005; Siddiqui, 2008;
Mukhopadhyay, 2009; Siddiqui and Seth, 2010), Australia (Masih and Masih, 1997;
Kim and Shamsuddin, 2003; Simpson, 2008), Greece (Hardouvelis et al., 2006;
Gklezakou and Mylonakis, 2009), Malaysia (Ibrahim, 2005; Majid et al., 2008) and
others (Gjerde and Saettem, 1995; Maysami and Koh, 2000; Seabra, 2001; Fratzscher,
2002; Simpson and Evans, 2004; Yusof and Majid, 2006; Boujir and Lahrech, 2008;
Yi and Tan, 2009; Karagoz and Ergun, 2010). The theory of stock market integration is
becoming popular because the researchers and investors from other countries also
started exploring the linkages among the national stock markets and the world stock
markets for various purposes, depending on their interests.
Out of the research papers considered for this study, Kazi (2008) had considered the
maximum number of years in his study, i.e. 57 years, followed by Gutierrez and Otero
(2007), who have covered 38 years under their study and maximum number of
countries covered were 46 by Mukhopadhyay (2009), who have considered 23 stock
markets from developed countries and remaining 23 stock markets from emerging
economies. A research paper by Alam and Hasan (2003) studied only one stock market,
i.e. USA and tries to find out the causality between stock market development and
economic growth of the country.
Plenty of work has been done in the area of stock market integration and the aim
of this paper is to evaluate the current status of research and to systematically arrange
the past literature by reviewing the studies on stock market integration considered in
this review paper. The present study contemplates the published and unpublished
research work collected from various sources for the period of more than two decades
starting from 1990 to 2010. The rest of this paper is structured as follows: next section
discusses the rationale of the study, Section III describes the objectives of the study,
Section IV presents the data and methodology adopted for attaining the
objectives, Section V explains the literature on stock market integration and
Section 6 provide some concluding remarks future research implications.
Stock market
integration
85
QRFM
4,1
86
II. Rationale of the study

After globalization, the flow of capital has increased from one country to another, with
the view of earning gains from such investments. Portfolio managers and investors
diversify their funds for maximizing the level of returns and minimizing the level of
risks from cross-border investments. However, diversification of funds from one
country to another is worthless when stock markets of these countries are integrated.
So, to diversify the funds, investors and portfolio managers examine the level of
integration among such markets because of which the concept of stock market
integration has gained popularity, especially during the last few decades. The concept
of stock market integration has grown widely all over the world particularly in USA,
UK, European countries and now in developing countries like India because financial
markets need to be studied to earn the gains from international diversification of funds,
which is a continuous process.
Due to the attractiveness of abnormal gains from international diversification of
investments, a lot of research work has been done on the concept of stock market
efficiency in the late 2000s covering the recent Asian financial crisis and other related
issues. Some studies like Ewing et al. (1999), Seabra (2001), Ahmad et al. (2005),
Valadkhani and Chancharat (2008) and Marashdeh and Shrestha (2010) rejected the
integration hypothesis and concluded that the markets considered for the study were
integrated and diversification of funds to earn abnormal profits will be worthless, whereas
some studies like Huth (1994), Janakiramanan and Lamba (1998), Siklos and Ng (2001),
Click and Plummer (2005), Syriopoulos (2007), Gooijer and Sivarajasingham (2008) and
Siddiqui (2009b) have accepted the same hypothesis and found that markets considered
are right target for investments. So, the present study has been conducted to compile such
studies at one place to know the status of worldwide stock markets and arrange these
studies at one place for easy access. The present paper is also conducted with the intention
of bringing out and analyzing the various methodologies used in various countries for
evaluating the degree of integration among various international stock markets to
determine the direction of future research on the notion stock market integration.
III. Objective of the study
The primary objective of this study is to organize and take the stock of the present
status of stock market integration research by reviewing the past published and
unpublished research work on the same topic in a well organized manner to provide
quick and easy access to the future researchers from the same field. The effort
represents an attempt to better understand the stock market integration research.
Another objective of the present study is to classify the preceding literature and to
provide the comprehensive bibliography on stock market integration and analyzing
the findings and results of the studies considered for review, which may prove helpful
to researchers and practitioners alike. Furthermore, we have also tried to comment on
the present status of the research on the same subject matter and suggest the prospects
of future research on the same topic.
IV. Data and methodology
A. Data
The present paper consists the review of 105 research papers on stock market
integration, published and unpublished, in various countries round the world. Out of
these 105 research papers, 89 papers are from 55 refereed journals, one paper is an
international conferences paper and 15 papers are collected from various web sites and
institutes electronic databases for the period covering more than 20 years starting
from 1990 to 2010. The classification of various research papers from various sources
is presented in Table I. In Table I, these research papers are distributed on the basis
various approaches like year of study, country where the research took place, source of
study, sample data used, methodology adopted and the conclusions and findings
discovered.
B. Methodology
This paper is an attempt to present a review of stock market integration research,
published or unpublished, from various sources like academic research journals,
conference proceedings, web sites, and electronic databases between 1990 and 2010. It
may be noted that the practitioners publications, working papers and papers
presented in the conferences also contain a great deal of material on stock market
integration. So, apart from the research papers from refereed journals, the present
study also includes a research paper presented in a conferences at international level,
published or unpublished working papers and masters or doctoral thesis, as they
provide very useful information to the researchers or practitioners for collecting
information and publicize the new findings. However, the refereed academic research
journals represent the highest level of research in this paper.
The literature search was based on the keyword descriptor stock market
integration/linkages for selected databases and web sites for the period ranging from
year 1990 to 2010. The databases were searched for the keyword in the titles, abstracts,
keywords list and full text. This search has produced thousands of research papers but
the full text of most of these papers, subject to relevance, were reviewed to select those
papers that were actually related to stock market integration. Based on the relevance
and the consideration of the time period for this study, we finally obtained 105 research
papers related to stock market integration. The number of research papers considered
in the present study is reduced from thousands to hundreds because of the fact
that there were many papers which made relevant to stock market integration but
did not have stock market integration as the primary research topic. Therefore, this
final sample set of 105 research papers represents the actual population of stock
market integration literature contributed by the selected databases for the defined
time period.
The full texts of these 105 research papers were carefully studied to identify the
appropriate categorization. On the basis of review, the entire literature on stock market
integration was classified using systematic model shown in Figure 1. It was felt that
for achieving the objective of the present study, classification of whole stock market
integration literature data on the basis of this model would prove to be helpful. As
shown in Figure 1, the entire stock market integration literature can be classified into
the following categories:
.
Methodology/econometric tools adopted for data analysis.
.
Year wise classification of studies.
.
Country wise distribution of studies.
.
Number of years taken as a sample data set.
Stock market
integration
87
Table I.
Classification of literature
on stock market
integration
The effect of 1987 stock

crash on international
financial integration
Predictable stock returns in

the United States and Japan:
a study of long-term capital
market integration
Additional evidence on
integration in the Canadian
stock market
4 Hamao et al.
(1991), USA
5 Campbell and
Hamao (1992),
USA
7 Park and Fatemi The linkages between the

(1993), USA
equity markets of Pacific
Basin countries and those of
the U.S., UK, Japan: a vector
autoregression analysis
6 Mittoo (1992),
Canada
Journal
Global Finance
Journal
The Journal of
Finance
The Journal of
Finance
10
19
Journal of
International
Money and
Finance
www.ssrn.
com
16
Journal of
Economics
and Business
Correlation in price changes The Review of

and volatility across
Financial
international stock markets Studies
Title of study
2 Jeon and Chiang A system of stock prices in

(1991), USA
world stock exchange:
common stochastic trends for
1975-1990?
3 Koch and Koch Evolution in dynamic
(1991), USA
linkages across daily
national stock indexes
1 Hamao et al.
(1990), USA
S.
no.
10
The evidence of price volatility spillovers was

found from US and UK to Japanese stock
market and from US to UK stock market for
post October 1987 period, which shows the
existence of international financial integration
The results showed that a system of stock
prices in the major world stock exchanges
shares one long-run equilibrium relationship
Findings and conclusions
The results reveal growing market

interdependence within the same geographical
region over time and a high degree of
international market efficiency. Japans market
influence has been growing to the USA
ARCH and GARCH model Volatility spillover effect was found from one
market to another and this effect remained
stable for the subperiod of crash and post
crash
Asset pricing framework Evidence of common movement in expected
excess returns were found across the two
countries, which suggest integration of longterm capital markets
Capital asset pricing
The evidence of CAPM and APT were
model (CAPM) and asset consistent with segmentation in the 1977-1981
pricing theory (APT)
subperiod, but supports integration in the
framework
1982-1986 subperiod
VAR and impulse
Despite of strong economic integration
response analysis
between countries of pacific basin and
developed countries, Pacific Basin markets
exhibited weak linkages to US, UK and
Japanese stock markets
(continued)
Autocorrelation function,
dynamic simultaneous
equations model
Unit root test and

multivariate cointegration
Autocorrelation function
and GARCH models
Sample
No. of
data
(no. of sample Methodology/tools
years)a countries adopted for data analysis
88
Author(s), year
and country of
study
QRFM
4,1
11
Linkages among European

and world stock markets
14 Choudhry (1996), Interdependence of stock

Applied
UK
markets: evidence from
Financial
Europe during the 1920s and Economics
1930s
The European
Journal of
Finance
23
Time-varying world market The Journal of

integration
Finance
12 Bekaert and
Campbell (1995),
USA
13 Gjerde and
Saettem (1995),
Norway
11
10
12
14
Managerial
Finance
www.ssrn.
com
International equity market

integration
Cointegration of
international stock market
indices
10 Huth (1994),
USA
11 Chou et al.
(1994), USA
Scandinavian
Journal of
Management
12
Journal
Applied
Financial
Economics
Title of study
Unit root (ADF) test, cross High degree of international co-movement was
correlation, IRF,
found among the stock price indices of the
multivariate VAR
markets understudy and the US stock market
has a considerable influence on stock market
performance in almost every country
Multivariate cointegration A stationary long-run relationship was found
test
between the indices of the markets understudy
during 1925-1936 and during the pre October
1929 stock crash period (1925-1929). Whereas,
no stationary relationship was found during
the post-crash period
(continued)
Granger unidirectional causality was found

from the USA to the other countries after the
October 1987 world-wide crash, except for the
linkages from the USA to the German market
Correlation, unit root
The Swedish market was found to be the
(ADF) test, cointegration
leading stock market out of four Scandinavian
test, Granger causality test stock markets, i.e. Sweden, Norway, Denmark,
and Finland. The world-wide returns seemed
to have significant effects on Scandinavian
market returns
Unit root (ADF) test and
The international equity markets tended to
Granger causality test
move together in time
The unit root (PP) test and The countries understudy were found to be
multivariate cointegration cointegrated and there was a long-run
test of Johansen
equilibrium relationship among the stock
market prices and the relationship becomes
stronger over the period of time
Conditional regime
Out of 12 emerging markets, several emerging
switching model
markets exhibited time-varying integration
Bivariate causality tests
Sample
No. of
data
a
years) countries adopted for data analysis
Regularities in the data

between major equity
markets: evidence from
Granger causality tests
9 Malkamaki et al. On the causality and co(1993), Great
movements of Scandinavian
Britain
stock market returns
8 Smith et al.
(1993), USA
S.
no.
Author(s), year
and country of
study
Stock market
integration
89
Table I.
Table I.
19 Janakiramanan An empirical examination of Journal of

linkages between PacificInternational
and Lamba
(1998), Australia Basin stock markets
Financial
Markets,
Institutions
and Money
18 Masih and
Masih (1997),
Australia
International
Advances in
Economic
Research
Global Finance
Journal
International
Review of
Economic and
Finance
Journal
Dynamic linkages and the

The Quarterly
propagation mechanism
of Economics
driving major international
and Finance
stock markets: an analysis of
the pre- and post-crash eras
Comovements of major
European community stock
markets: a vector
autoregression analysis
Diversification benefits in
the smaller European stock
markets
16 Friedman and
Shachmurove
(1997), USA
17 Markellos and
Siriopoulos
(1997), UK
Short-run and long-run

dynamic linkages among
international stock markets
15 Hassan and
Naka (1996),
USA
Title of study
16
20
Conflicting results were found, which cannot

be used to provide conclusive evidence on
international stock market efficiency
The European community markets were

inefficient and the degree of interdependence
varies among these markets but no market
was completely isolated from the other
The evidences of interdependencies and
integration were found between the European
markets and with the US market. The results
of cointegration analysis did not find any
significant common trend shared between the
European markets and the US and Japanese
markets
Unit root (ADF) test,
The stock market crash did not affect the
cointegration test, (VECM) leading role played by the US market over
and forecast error VDC
other markets and the German and British
analysis
markets seemed to have become more
dependent on other markets over post-crash
period as compared to the pre crash era
Correlation coefficient,
The US market influenced all other markets
unit root (ADF) test, VAR, except Indonesia and all other Australasian
IRF
markets were integrated. The influence of the
US market on the Australasian markets had
diminished over time, and the emerging
market of Indonesia is becoming more
integrated with these markets
(continued)
Correlation coefficient,
unit root (ADF) test,
test, Johansens vector
error correction model
(VECM)
Unit root (ADF, PP and
SMA) test, Granger
causality test, VDC and
correlation
Pearson correlation,
principal components and
cointegration analysis
Sample
data
No. of
90
S.
no.
Author(s), year
and country of
study
QRFM
4,1
24 Maysami and
Koh (2000),
Singapore
23 Masih and
Masih (1999),
Australia
22 Ewing et al.
(1999), USA
Correlation in price changes Journal of

and volatility of major Latin Multinational
American stock markets
Financial
Management
NAFTA and North
North
American stock market
American
linkages: an empirical note Journal of
Economics
and Finance
Are Asian stock market
Pacific Basin
fluctuations due mainly to
Finance
intra-regional contagion
Journal
effects? Evidence based on
Asian emerging stock
markets
A vector error correction
International
model of the Singapore stock Review of
market
Economic and
Finance
21 Christofi and
Pericli (1999),
USA
Journal of
Multinational
Financial
Management
Journal
Interdependence and
dynamic linkages between
stock markets of Sri Lanka
and its major trading
partners
Title of study
20 Elyasiani et al.
(1998), USA
S.
no.
Author(s), year
and country of
study
Unit root test (KPSS and

modified Dickey fuller
test), multivariate
cointegration analysis,
VECM, VAR, and VDC
analysis
Unit root (ADF and PP)
test, multivariate
cointegration test, VECM

Cochrane variance ratio,
and Johansen-Juselius
cointegration tests
Correlation, VAR and

exponential GARCH
process

correlation, Granger
causality Test, VDC, VAR,
IRF
Sample
No. of
data
a
It was found that the three markets are highly

cointegrated and changes in US and Japanese
stock market have a significant effect on the
Singapore stock market
(continued)
The results evidenced the absence of

cointegration in these markets even after the
passage of NAFTA and no contagion effect
associated with the 1987 US stock market
crash
The existence of a significant short and longterm relationship between the developed and
emerging markets was found
No significant interdependence was found

between the Sri Lankan market and its major
trading partners. Small capitalization, lack of
liquidity, high concentration in blue chips, and
unilateral investment barriers on Sri Lankan
investors was possible causes for lack of
interdependence
The countries understudy had significant time
dependencies and exhibited stronger volatility
spillovers than other regions of the world
Stock market
integration
91
Table I.
Table I.
Causality and cointegration

of stock markets among the
United States, Japan and the
South China Growth
Triangle
International transmission
of stock price movements
among Taiwan and its
trading partners: Hong Kong,
Japan and the United States
Long and short term

dynamic causal transmission
amongst international stock
markets
Integration among Asia
Pacific and international
stock markets: a common
stochastic trends and regime
shifts
26 Huang et al.
(2000), Taiwan
27 Chang and Nieh

(2001), Taiwan
28 Masih and
Masih (2001),
USA
29 Siklos and Ng
(2001), Canada
A study of cointegration and

variance decomposition
among national equity
indices before and during the
period of the Asian financial
crisis
25 Sheng and Tu
(2000), Taiwan
Title of study
Journal of
International
Money and
Finance
Pacific
Economic
Review
Review of
Pacific Basin
Financial
Markets and
Policies
International
Review of
Financial
Analysis
Journal of
Multinational
Financial
Management
Journal
20
13
12

test, VAR and Johansen
cointegration test
VECM, VAR, generalized

impulse response analysis
Unit root test (ADF and PP

tests), Johansen
test, VECM, VDC and IRF

cointegration technique
and Granger causality test

cointegration test, VECM,
Granger causality test,
VDC test
Sample
No. of
data
a
(continued)
At least one cointegrational relationship was

present in stock indices during the period of
financial crisis but it was not so in the period
before the financial crisis. The relationship for
the South-East Asian countries was stronger
than that for the North-East Asian countries
and USA played a dominant role in influencing
other markets
No cointegration exists among the markets
except between Shanghai and Shenzhen and
stock price changes in USA have more affect
on Chinese markets than those of Japan.
Similarly, price changes on the Hong Kong
stock market lead the Taiwan market by one
day
The four stock markets were found to be
cointegrated and the US and Japanese markets
played leading roles in driving the fluctuations
in the other two markets. The October 1997
crises affected the US stock market but
showed no significant impact on other
markets. The Taiwan and Hong Kong markets
were affected more by regional markets such
as Japan than by the USA
Interdependencies were found between the
established OECD and the Asian markets, and
the leadership of the US and UK markets over
the short and long run was found
All seven countries shared a single common
stochastic trend and hence thus found to be
integrated with each other
92
S.
no.
Author(s), year
and country of
study
QRFM
4,1
The integration of the East www.mysmu.

and South-East Asian equity edu
markets
Economic integration and

stock market comovements
in the America
Stock market linkages:

evidence from Latin
America
32 Tan and Tse

(2001),
Singapore
33 Johnson and
Soenen (2002),
USA
34 Chen et al.
(2002), Hong
Kong
35 Fratzscher
Financial market integration International
(2002), Germany in Europe: on the effects of
Journal of
EMU on stock markets
Finance and
Economics
Journal of
Multinational
Financial
Management
Journal of
Banking
& Finance
Stock market integration Applied

an application of the
Economics
stochastic permanent breaks Letters
model
31 Huang and Fok

(2001), Taiwan
Applied
Economics
Letters
Journal
A co-integration analysis
between Mercosur and
Title of study
30 Seabra (2001),
Brazil
S.
no.
Author(s), year
and country of
study
15
11
12
10
15
10
Autocorrelation,
correlation, unit root test
(ADF and PP),
cointegration test, error
correction VAR, impulse
response analysis
Trivariate GARCH model
Cointegrating vector explained the

dependencies in prices and there was a long
term equilibrium relationship existed among
the six markets until 1999, which created
limited potential for diversifying risk by
investing in different Latin American markets
The European equity markets have become
highly integrated since 1996 and the
integration of European equity markets was
explained by the drive toward EMU
(continued)

There was no common trend linking the
bivariate and multivariate Argentine and Brazilian stock price indexes.
cointegration tests
While, cointegration was found in two Latin
American stock markets and the US market
Stochastic permanent
The US stock market was temporarily
breaks (STOPBREAK)
cointegrated with the markets in Japan,
model and Johansens
Germany, The Netherlands and Switzerland
cointegration test
according to STOPBREAK model. However,
the US market is cointegrated only with the
market in The Netherlands according to the
Johansen cointegration test
Correlation, Granger
The linkages and interactions between the
causality test, the
markets have increased substantially in post
Gewekes measure of
crisis era
feedback, VAR and IRF
Geweke measure and
Eight equity markets of the Americas were
pooled regression
highly associated with the USA
Sample
No. of
data
a
Stock market
integration
93
Table I.
Table I.
Journal of
International
Money and
Finance
Journal of
International
Financial
Markets,
Institutions
& Money
The structure of
interdependence in
37 Bessler and
Yang (2003),
USA
38 Kim and
Integration and
Shamsuddin
interdependence of stock and
(2003), Australia foreign exchange markets: an
Australian perspective
Managerial
Finance
Asian financial crisis: the

pre- and post-crisis analysis
of Asian equity markets
Journal
36 Chatterjee et al.
(2003), USA
Title of study
20
11
(continued)
Cointegration relationship found in the

markets understudy and crisis in Korea
affected the returns of other countries that
continued after the crisis period. A significant
close relationship was found between the
returns of Hong Kong, Korea, and Singapore
since the crisis whereas it was not so in returns
of Indonesia, Philippines, and Thailand, and
Malaysia, Singapore and Taiwan
Directed acyclic graphs for The Japanese market was among the most
causality, VECM and
highly exogenous and the Canadian and
innovation accounting
French markets among the least exogenous in
techniques
this study. The USA was highly influenced by
its own historical innovations, but it was also
influenced by market innovations from the
UK, Switzerland, Hong Kong, France and
Germany. The USA was the only market that
had a consistently strong impact on price
movements in other major stock markets in the
long-run
A stable long-run relationship between the
Johansens cointegration
Australian, US and Japanese markets prior to
test, VECM, VAR model, the Asian crisis was found but this
impulse response analysis relationship disappeared in the post-Asian
crisis period

test, cointegration test,
VECM, Granger causality
test
Sample
No. of
data
a
94
S.
no.
Author(s), year
and country of
study
QRFM
4,1
Stock market integration

Applied
and financial crises: the case Financial
of Asia
Economics
Comovements of stock
Journal of
markets among selected OIC Economic
countries
Cooperation
41 Yang et al.
(2003), USA
42 Ceylan and
Dogan (2004),
Turkey
Financial crisis and African Applied

stock market integration
Economics
Letters
40 Wang et al.
(2003), USA
Journal
52
Title of study
12

test, Eagle-Granger
cointegration test,
dynamic ordinary least
square (OLS) cointegration
test
test, VECM and
generalized impulse
response analysis
Cointegration test and

generalized IRF
Unit root test (ADF and PP

test), multivariate
and Granger causality test
Sample
No. of
data
39 Alam and Hasan The causality between stock Studies in

(2003), USA
market development and
Economics
economic growth: evidence
and Finance
from the United States
S.
no.
Author(s), year
and country of
study
(continued)
The stock market, GDP, nominal interest rate,

the price level, and the unemployment rate
were co-integrated and stable long-run
equilibrium relationships exist among the
variable and thus the stock market contains
information about future changes in real
income
The regional integration between most of
African stock markets was weakened after the
1997-1998 crisis. The degree of global
integration of African stock markets was
found to be very limited with the exception of
South African market and the influence of the
US market on African market was not much
strengthened after the financial crisis
Linkages between the markets were
strengthened during the crisis and these
markets have been more integrated after the
crisis than before the crisis and the degree of
integration among countries tends to change
over time, especially around periods marked
by the financial crisis
The eight OIC stock markets have started to
move together in the post-11 September 2001
period
Stock market
integration
95
Table I.
Table I.
Linkages and relationship

www.tdc.ie
between emerging European
and developed stock markets
before and after the Russian
crisis of 1997-1998
46 Lucey and
Voronkova
(2004), Ireland
www.ssrn.
com
Research in
International
Business and
Finance
The linkages between the

US and Korean stock
markets: the case of
NASDAQ, KOSDAQ, and the
semiconductor stocks
Interdependence in Gulf
cooperating stock markets
44 Jeon and Jang

(2004), USA
45 Simpson and
Evans (2004),
Dubai
International
Review of
Financial
Analysis
Journal
43 Yong et al.
Cointegration and causality
(2004), Australia in the Asian and emerging
foreign exchange markets:
evidence from the 1990s
financial crises
Title of study
10
14

GCC stock market returns were cointegrated
Durbin-Watson test, VAR, with the Bahrain stock market returns.
VDC test, IRF
Causality analysis showed that Kuwait and
Saudi Arabian markets largely Granger cause
Bahrain markets. Two-way causality exists
with Saudi Arabia and Bahrain but the Saudi
Arabia to Bahrain causality was stronger.
Bahrain markets only appear to Granger cause
the small Oman market
Cointegration approach,
The Russian market showed significantly
VECM, IRF, VDC analysis, more evidence of integration with developed
Gregory-Hansen residual- markets but the extent of interdependencies
based cointegration test,
differs in the case of the US and European
dynamic conditional
markets
correlation (DCC)-GARCH
approach
(continued)

The analysis shows most of the pre-Mexican
cointegration test, Granger causality disappeared and a significant
causality test, IRF
numbers of new causality emerged in the 1994
Mexican crisis while the 1997 Asian crisis
generated significant spillover effects into the
later part of the 1998 Russian and 1999
Brazilian crises
The US stock market plays a leading role over
cointegration test, VAR
the Korean market. While, the reverse
model, IRF
direction of influence, from Korea to the USA,
was not found
Sample
No. of
data
96
S.
no.
Author(s), year
and country of
study
QRFM
4,1
Stock market linkages in

emerging markets:
implications for international
portfolio diversification
48 Phylaktis and
Ravazzolo
(2005), UK
Journal of
Banking
& Finance
Journal of
International
Financial
Markets,
Institutions
and Money
Management
Research
News
Journal
50 Goh et al. (2005), Financial crisis and

Review of
Malaysia
intertemporal linkages across Quantitative
the ASEAN-5 stock markets Finance and
Accounting
49 Kim et al. (2005), Dynamic stock market

Australia
integration driven by the
European monetary union:
an empirical analysis
International linkages of
stock prices: the case of
Indonesia
Title of study
47 Ibrahim (2005),
Malaysia
S.
no.
Author(s), year
and country of
study
11
14
19
16
17
The Indonesian markets does not share longrun relation with other ASEAN and advanced
markets in pre and post crisis period but
Indonesian market become more responsive to
advanced markets in the post crisis period and
more segmented from other ASEAN markets.
In short-run, Indonesian markets were found
responsive to ASEAN markets, especially to
US market as compared to the Japanese
market
Multivariate cointegration All the markets were not linked together for
analysis (autoregressive
both 80s and 90s but the close financial links
and moving average form) were found in Taiwan and Thailand with both
Japan and USA during 1980s. The Asian Crisis
did not affect the degree of linkages of these
markets. Japan played an important role as
compared to USA in influencing the Pacific
Rim
Conditional correlation,
A shift was found in European stock market
ARMA-EGARCH model
integration with the introduction of the EMU.
Both intraregional and inter-regional stock
market integration was found to be highly
volatile prior to the second half of the 1990s
and it had increased rapidly in the two years
leading up to the official launch of the euro
Vogelsang test, unit root
Correlation in stock returns was the strongest
test (ADF and PP),
and Indonesia leads the movements of the
correlation test, Granger
other indices during the crisis. The relative
causality test, VDC test,
influence of foreign shocks was much more felt
generalized IRF,
during the crisis. The stock indices were
Johansens cointegrarion
cointegrated before, but not during the crisis.
test
Short-run linkages of Malaysia with the other
markets have weakened after the crisis
(continued)

VAR
Sample
No. of
data
a
Stock market
integration
97
Table I.
Table I.
55 Oyefeso and
Fraser (2005),
UK
International
Review of
Financial
Analysis
www.ssrn.
com
Journal of
Asian
Economics
South Asia
Economic
Journal
Journal
US, UK and European stock Journal of

market integration
Business and
Finance
Equity market integration in

the NAFTA region: evidence
from unit root and
cointegration tests
Russian equity market
linkages before and after the
1998 crisis: evidence from
time-varying and stochastic
cointegration tests
53 Kyaw and
Aggarwal
(2005), USA
54 Lucey and
Voronkova
(2005), Finland
Stock market integration in

ASEAN after the Asian
financial crisis
Is the Indian market
integrated with the US and
Japanese markets? An
empirical analysis
51 Click and
Plummer (2005),
USA
52 Ahmad et al.
(2005), India
Title of study
10
25
13
Unit root (ADF, PP and

KPSS) test, correlation
coefficient and
cointegration test
Traditional and
test, Gregory-Hansen
cointegration test, nonparametric cointegration
test and DCC-GARCH
approach
Johansen multivariate
cointegration test, residual
autocorrelation test and
simple correlation and unit
root (ADF) test
Correlation, unit root (ADF

and PP) test, VAR,
cointegration analysis
test, Johansens
cointegration test and
Sample
No. of
data
In the aftermath of the Russian crisis of 1988

there was an increasing degree of comovements of the Russian market with other
developed markets, but not with Central
European developing markets
(continued)
US and UK markets were less influenced than

European markets and have tended to display
relatively more variability in deviations from
the common trend
The stock markets understudy were

cointegrated in the period after the Asian
financial crisis
No long-term relationship of Indian equity
market was found with that of the US and
Japanese equity market. It was further
concluded that the Nasdaq and the Nikkei had
a strong causal relationship in 1999-2001
which became either very weak or disappeared
in 2002-2004. There seemed to be a
disassociation in the movements of the Nasdaq
and Nikkei with that of the Sensex and Nifty
The three countries had become more
integrated after the passage of NAFTA
98
S.
no.
Author(s), year
and country of
study
QRFM
4,1
61 Yusof and Majid Who moves the Malaysian

(2006), Indonesia stock market the U.S. or
Japan? Empirical evidence
from the pre-, during, and
post-1997 Asian crisis
60 Maghyereh
(2006), Jordan
Regional integration of
stock markets in MENA
countries
Recent stock price

relationships between
Japanese and US stock
markets
Comovements and
correlations in international
stock markets
between Malaysia and its
major trading partners (19942002)
57 Kurihara and
Nezu (2006),
Japan
58 DEcclesia and
Costantini
(2006), Italy
59 Karim and Gee
(2006), Malaysia
A Test of Integration
Between Emerging and
Developed Nations Stock
Markets
Title of study
56 Tambi (2005),
India
S.
no.
Author(s), year
and country of
study
Gadjah Mada
International
Journal of
Business
The European
Journal of
Finance
Applied
Econometrics
and
International
Development
Journal of
Emerging
Market
Finance
Studies in
Economics
and Finance
http://129.3.
20.41/eps/if/
papers/0506/
0506004.pdf
Journal
25
12
11
Two cointegrated vectors existed among six

countries understudy but when tested on an
individual basis, no statistically significant
cointegration relationship was found between
most of the market pairs. The study also
indicated that world equity market was
segmented, where developed nations and
emerging markets have made separate
grouping
US stock prices have significantly influenced
Japanese stock prices and a long-term stable
relationship existed between Japanese and US
stock market prices
Comovements were found in the markets
understudy
The degree of cointegration between the

Malaysia market and its major trading
partners stock markets increased
substantially during the financial crisis but
declined after the financial crisis
VAR and ARCH
Evidence indicated that none of the MENA
markets were completely isolated and
independent and dynamic links indicated that
the integration among these markets was still
weak
The Malaysian stock market was more
integrated with the Japanese stock market
bivariate and multivariate during the post-1997 financial crisis period
causality test, VDCs and
compared with US stock market
IRF
(continued)

test, VECM, VAR
test, bivariate
cointegration test, VDC
response, IRF

VECM, VAR, IRF
Karl Pearson correlation

test, unit root (ADF and
PP) test, Johansens
cointegration test, VARECM
Sample
No. of
data
a
Stock market
integration
99
Table I.
Table I.
The effect of US and

Applied
European stock exchange on Financial
Greeces stock market: a
Economics
VAR approach
Letters
66 Veraros and
Kasimati (2007),
Greece
Conference
paper
www.ssrn.
com
A study of interlinkages
between the Indian stock
market and some other
emerging and developed
markets
Dynamic financial linkages
among selected OIC
countries: evidences from the
post-September 11
64 Mukherjee and
Bose (2006),
India
65 Majid et al.
(2006), USA
Journal of
Business
Integration of the South and Journal of

East Asian stock markets:
Financial
how long to go?
Reporting and
Accounting
Journal
63 Hardouvelis et al. EMU and European stock

(2006), Greece
market integration
62 Ameer (2006),
UK
Title of study
15
11
11

test, VDC test, IRF
Cross correlation, unit root

(ADF and PP), pairwise
and groupwise
cointegration and Granger
causality tests
multivariate causality test,
and vector decompositions
Correlation coefficients,
vector autoregressive
models (VAR), Granger
causality tests,
cointegration technique
and TARCH model
Predictability test and
robust analysis
Sample
No. of
data
a
(continued)
The stock markets of the Euro zone countries

did not show a striking increase in their degree
of integration with the world market as they
did with the EU market
The Indian markets were highly correlated
with the stock market in Singapore, Malaysia,
South Korea, Taiwan and Thailand, and Hong
Kong while, least correlated with the US and
Japanese market
Evidence of the existence of integration was
found only among four Asian-OIC stock
markets, while no evidence of integration was
found among the MENA stock markets.
However, the OIC stock markets were found to
be cointegrated with the US, Japanese and UK
stock markets. These findings indicated that
the OIC stock market were segmented
regionally and integrated internationally. The
OIC stock markets in the Asian region
responded more to the shocks in the Japanese
stock market, while the MENA stock markets
responded more to the shocks in the UK
market
The Greece Stock markets have stronger effect
on the European markets as compared to US
stock markets
Malaysia, South Korea and Thailand have

shown significant movement towards
international financial integration
100
S.
no.
Author(s), year
and country of
study
QRFM
4,1
Interdependence of major
world stock exchanges: how
is the Athens stock exchange
affected?
Dynamic linkages between

emerging European and
developed stock markets: has
the EMU any impact?
69 Glezakos and
Merika (2007),
Greece
70 Syriopoulos
(2007), Greece
International
Review of
Financial
Analysis
International
Research
Journal of
Finance and
Economics
Co-movement of Bangladesh Managerial

stock market with other
Finance
markets cointegration and
error correction approach
68 Hoque (2007),
Bangladesh
Baltic Journal
of Economics
Journal
Interdependence of Nordic
and Baltic stock markets
Title of study
67 Nielsson (2007),
USA
S.
no.
Author(s), year
and country of
study
11
10
10
Correlation, unit root test,

test, VECM, Granger
causality test, impulse
response analysis
Unit root test (ADF and

PP), VAR model, Granger
causality test, and
Johansen-Juselius
cointegration tests

correlation, cointegration
test, IRF, VAR, Granger
causality test
Unit root (ADF and KPSS)
test, multivariate
cointegration approach,
VECM, impulse response
analysis
Sample
No. of
data
a
The weak interdependence was found in stock

indices of Nordic and Baltic stock markets
which implies that still there was possibilities
of international diversification in the area
The stock prices of the countries under study
shared common stochastic trend. Thus, long
term and short term dynamics have been
detected in these markets, which confirmed
financial liberalization in the Bangladesh since
1990 had successfully opened up the
Bangladesh stock market toward the outside
world and hence this market was influenced
by other world markets
Both the long-run cointegrating relationships
and the short-run dynamic linkages between
major world financial markets were found to
be strengthened through time. The dominance
of USA was noticeable on all major world
financial markets. The Athens stock market
was strongly affected by the US and the
German markets
Co-movements existed in the markets under
study. Central European markets tend to
display stronger linkages with their mature
counterparts, whereas the US market holds a
world leading influential role. No post-EMU
shock was detected in stock market dynamics
(continued)
Stock market
integration
101
Table I.
Table I.
Applied
Financial
Economics
Letters
Integration analysis of Latin www.ssrn.
America stock markets 1993- com
2007
Financial integration in the Journal of

GCC stock markets: evidence Economic
from the early 2000s
Cooperation
development phase
76 Simpson (2008),
Australia
75 Lucey and
Zhang (2007),
Ireland
Testing for stock market

integration in a developing
economy: Colombia
74 Gutierrez and
Otero (2007),
Colombia
14
38
15
Managerial
Finance
Market-wide and sectoral

integration: evidence from
the UK, USA and Europe
21
73 Antoniou et al.
(2007), UK
Emerging
Market
Review
Market integration and

contagion: evidence from
Asian emerging stock and
foreign exchange markets
Journal
72 Segot and Lucey Capital market integration Emerging

(2007), France
in the Middle East and North Markets
Africa
Finance and
Trade
71 Tai (2007), USA
Title of study
03
The UK market was more correlated and

integrated with Europe than USA and the US
stock market produced the highest marketwide volatility transmission effects
The two markets under study were fully
integrated over a period of almost four decades
The stock markets in India, Korea, Malaysia,

Philippines, and Thailand were segmented
from the world capital markets before their
liberalization dates, but all six markets have
become fully integrated since then and as for
the contagion effects, strong positive impact of
return shocks originating from the domestic
stock market to its foreign exchange market
during the crisis was found
Long-run bivariate relationship was found
between each of the markets and the European
Monetary Union (EMU), the USA, and a
regional benchmark
The results of correlation analysis depicted

that Latin American markets, the regional
benchmark and the US have co-movements.
Whereas, according to cointegration tests, the
Latin American markets have not become
integrated within the region or the USA
Serial correlation, unit root The markets under the study were not
(ADF) test and Durbininformationally efficient, but they were
Watson model, Johansens cointegrated and interdependent
causality test
(continued)
DCC-GARCH, static test,

test, Recursive Akdogan
score analysis

ARCH test and OLS
Cointegration analysis,
Akdogan financial
integration score and
market capitalization
ratios
DCC model and
multivariate GARCH
GARCH models
Sample
No. of
data
a
102
S.
no.
Author(s), year
and country of
study
QRFM
4,1
82 Stasiukonyte
Nature of Baltic and
and
Scadinavian stock markets
Vasiliauskaite
integration process
(2008), Lithuania
81 Kazi (2008),
Australia
80 Gooijer and
Sivarajasingham
(2008), The
Netherlands
Parametric and
nonparametric Granger
causality testing: linkages
between international stock
markets
Is Australian stock market
integrated to the equity
markets of its major trading
partners
Testing stock market

linkages for Poland and
Hungary: a multivariate
GARCH approach
Interdependence of ASEAN5 stock markets from the US
and Japan
78 Li and
Majerowsk
(2008), UK
79 Majid et al.
(2008), Malaysia
Morocco & US equity

markets linkage after FTA
signature implications for
international portfolio
diversification
Title of study
77 Boujir and
Lahrech (2008),
Morocco
S.
no.
Author(s), year
and country of
study
Economics
and
Management
International
Review of
Business
Research
Papers
Physica A
Research in
International
Business and
Finance
Global
Economic
Review
International
Research
Journal of
Finance and
Economics
Journal
57
19
19
11

correlation analysis,
Eagle-Granger
cointegration test, Granger
causality test and VAR
test and VECM
(continued)
All the markets were not found to be equally

influential but then also these markets were
integrated. The significant overseas markets
for Australia were the UK, Canada and
Germany out of which the UK was more
dominating
The correlation test specified increasing
financial integration between regions but
Cointegration test indicated opposite effect
The Moroccan and US equity markets were

not linked because there were still quantitative
and qualitative barriers like tariffs, taxes,
restriction on trade in foreign assets or
information costs which impede the free flow
of foreign capital of the US market in Morocco
Multivariate asymmetric
The two emerging markets in Central and
GARCH approach
Eastern Europe were linked to the developed
markets in Frankfurt and the USA in terms of
returns and volatility
The ASEAN stock markets were moving
toward greater integration among themselves
Granger causality test and and also with USA and Japan, particularly in
generalized method of
post-1997 financial turmoil
moments
VAR and GARCH models The Asian stock markets have become more
internationally integrated after the Asian
financial crisis
Autocorrelation test, DCC

GARCH model,
unconditional correlation,
unit root (ADF) test
Sample
No. of
data
a
Stock market
integration
103
Table I.
Table I.
Integration of Indias stock

market with global and
major regional markets
www.bis.org
15
www.ssrn.
com
89 Raj and Dhal

(2008), India
www.ssrn.
com
20
87 Abimanyu et al. International linkages to the

(2008), Indonesia Indonesian capital market:
cointegration test
88 Samitas et al.
Equity market integration in
(2008), Greece
Balkan emerging markets
Exploring integration
between selected European
market indexes and sensex
85 Siddiqui (2008),
India
The
International
Journal of
Business and
Finance
Research
Pranjana
13
18
Are American and French

stock markets integrated?
84 Jawadi and
Arouri (2008),
France
The
Manchester
School
Supplement
Journal
86 Valadkhani and Dynamic linkages between Journal of

Chancharat
Thai and international stock Economic
(2008), Australia markets
Studies
Stock market integration for

the transition economies:
time-varying conditional
correlation approach
83 Wang and
Moore (2008),
UK
Title of study
15
12
The significant dynamic correlation was found

for the emerging markets with the Euro zone
markets during the financial crisis and a
higher level of linkages in the aftermath of
crisis
Two error correction
The results confirmed the evidence of
models (ECM) that are, the integration between France and American
exponential switching
stock markets and the stock market
transition ECM and the
integration process was found to be non-linear,
nonlinear ECM-rational
time varying and strengthened over time
polynomial
Integration was found among the markets
test, Granger causality test under study but it was also seen that no
and Johansen
market was playing a dominant role in
cointegration test
influencing other markets
No cointegration was found between stock
test, Johansen
prices indices of Thailand and its major
cointegration test,
trading partners but the bidirectional granger
Gregory-Hansen test and causality was found between the Thailand
stock market returns and Malaysia, Singapore
and Taiwan
Unit root (PP) test and
The existence of cointegration was found
Johansen multivariate
between the stock market under study except
cointegration tests
between Indonesia and Philippine
Unit root (ADF and KPSS) Long-run cointegration relationship among
test, Johansens
Balkan markets and between Balkan and
cointegration test, VECM developed markets was found
and Monte Carlo
simulation
Integration of Indian stock market had
VECM and cointegration strengthened with global and regional markets
test
in the more recent period since 2003
(continued)

bivariate EGARCH model
with DCC specification
Sample
No. of
data
a
104
S.
no.
Author(s), year
and country of
study
QRFM
4,1
Vision The
Journal of
Business
Perspective
Review of
Market
Integration
92 Siddiqui (2009a), Stock market integration:

India
examining linkages between
selected world markets
Financial market
integration: the Indian
experience
Interdependence of the
developing stock markets,
before and during the
economic crisis: the case of
South Europe
93 Mukhopadhyay
(2009), India
94 Gklezakou and
Mylonakis
(2009), Greece
Journal of
Money,
Investment
and Banking
Journal of
Multinational
Financial
Management
Dynamic linkages among

equity markets in the Middle
East and North African
countries
91 Alkulaib et al.
(2009), Kuwait
International
Journal of
Emerging
Markets
Journal
Dynamic linkages among

ASEAN-5 emerging stock
markets
Title of study
90 Majid et al.
(2009), Malaysia
S.
no.
Author(s), year
and country of
study
14
19
46
11
12
The ASEAN stock markets were moving

towards more integration among themselves
and the degrees of short- and long-run
integration have significantly increased,
especially after 1997 financial crisis. The
causal relationship was also found to be
changing over the period of time, among the
markets under study and Singapore was found
to be the most dominant market to cause other
ASEAN markets
No causality or spillover was found from one
stock market to another in the North African
region. The linkages were found in stock
markets of the Levant region and there was
more interaction and linkages in the GCC than
in the North African and the Levant region
The markets under the study were integrated
and correlated
(continued)
Pearson correlation, unit

root (ADF and PP) test,
Johansen cointegration
test and Granger causality
test
Correlation analysis
Market integration was mostly lead by
developed markets and the services sectors
were more likely to be financially integrated
than other sectors
Correlation analysis, unit The markets which were loosely related in
root (ADF) test, Granger
period of normal economic activity, exhibited
causality test
strong interrelationships under the conditions
of economic recession
Correlation and ARMA

VECM and Granger
causality test
Sample
No. of
data
Stock market
integration
105
Table I.
Table I.
100 Zhang (2009),

Japan

emerging countries: further
evidence from the Philippines
and Mexico
Linkages of stock prices in
major Asian markets and the
United States
www.
apeaweb.org
www.financeinnovation.
org
17
30
10
99 Arouri and
Jawadi (2009),
France
Cointegration of Indian
stock markets with other
leading stock markets
97 Menon et al.
(2009), Saudi
Arabia
Journal of
Emerging
Market
Finance
Studies in
Economics
and Finance
20
10
International equity market

integration: the Indian
conundrum
96 Bhaduri and
Samuel (2009),
India
The Singapore
Economic
Review
Journal
98 Siddiqui (2009a), Examining association

www.
India
between S&P CNX nifty and nseindia. com
selected Asian and US stock
markets
An empirical analysis of
stock markets integration:
comparison study of
Singapore and Malaysia
95 Yi and Tan
(2009), China
Title of study
11
10

correlation analysis, IRF,
VDC

VECM
Pearson correlation, unit

root test (ADF and PP
test), Johansen
Engle Granger test
(continued)
There was no cointegration between Indian,

American and Hong Kong stock market but
some extent of cointegration exists between
the Indian and the Chinese stock market.
Whereas, the cointegration was very strong
between Indian and Singapore stock market
The correlation of returns has increased in
most of the countries in the crisis period. The
interdependencies among the markets
understudy have increased in crisis period and
none of the market was playing a dominant
role in influencing other markets
Both markets were integrated with world
market, but the degree of integration was
higher for Mexico and compared to the
Philippines
The USA greatly affected the Asian markets
and the Chinese mainland market was least
affected by other markets
The level of integration of domestic markets

with external markets was higher when
regional and global data were used as
compared to when the individual country data
were used to proxy regional and global
markets
Logistic smooth transition Since post-Asian crisis Indian stock market
regression method
was gradually getting integrated with rest of
the Asian and developed markets
Ljung Box statistic and

GARCH model
Sample
No. of
data
106
S.
no.
Author(s), year
and country of
study
QRFM
4,1
Probing relations between

Management
S&P CNX Nifty, BSE 30 and Dynamics
Shanghai composite

the GCC countries

among Balkan countries
103 Siddiqui and

Seth (2010),
India
104 Marashdeh and

Shrestha (2010),
UAE
105 Karagoz and

Ergun (2010),
Turkey
11
12
5and
World
markets
Pairwise correlation, unit

root (ADF and PP) test,
The stock market integration existed in the

Balkan region and Turkey was the least
causally related market. Among developed
markets, UK was the most influential market
compared to Japan and US market
Significant comovements existed among the

Gulf markets, but these comovements were
still small, indicating weak linkages between
the stock markets of this region and the
linkages between Arab markets and the world
market were smaller and insignificant
Correlation and GARCH
The correlation and bi-directional
model
contemporaneous intraday return spillover
existed between India and most of its Asian
counterparts. Hong Kong, Korea, Singapore
and Thailand were the major source of
information to India and stock markets in
Pakistan and Sri Lanka were strongly
influenced by the movements in the Indian
stock market
Unit root test (ADF and PP Indian Indexes were not correlated and cotest), Pearson correlation integrated with Chinese Index. Hence, the
and Granger causality test Indian and Chinese markets were not
integrated
The GCC stock markets were not completely
test, ARDL approach
integrated among themselves and not cointegrated with developed markets
DCC-GARCH model, BaiPerron test
Sample
No. of
data
Note: aRounded off to next year figure if months are more than six and to previous year if months are less than six
International
Research
Journal of
Finance and
Economics
MIBES
Transactions
Research in
International
Business and
Finance

and volatility spillover: India
and its major Asian
counterparts
102 Mukherjee and

Mishra (2010),
India
Journal
Time varying
Managerial
characteristics of cross
Finance
market linkages with
empirical application to Gulf
stock markets
Title of study
101 Arouri and

Nguyen (2010),
France
S.
no.
Author(s), year
and country of
study
Stock market
integration
107
Table I.
QRFM
4,1
108
Figure 1.
Basis of classification of
available literature
.
.
Number of countries considered for study forming sample data.

Source from where the papers are collected.
The following section of the present paper explains the classification of whole stock
market integration literature on the basis of the variables mentioned in this section of
the paper.
V. Literature on stock market integration
This section of the paper presents the results of the literature review. Table I provides a
comprehensive bibliography of the studies on stock market integration, classified on
the basis of the above mentioned variables. Each of these variable and the results
obtained from the review are given as under.
1. Methodology/econometric tools adopted for data analysis
Table II and Figure 2 show the frequency of various econometric tools used for data
analysis in the research papers considered in the present study. From Table II and
Figure 2, it can be seen that the majority of research papers have used unit root test for
testing the stationarity of the stock market prices, followed by Johansens cointegration
test, correlation test, Granger causality test, error correction mechanism, IRF, vector
autoregression (VAR) and VDC test for examining the linkages among the markets.
The generalized autoregressive conditional heteroskedasticity (GARCH) model was
also frequently used to test the volatility spillover among the studies considered. The
other tests include autoregressive distributed lag (ARDL) approach, Bai-Perron test,
Unit root test

Johansens cointegration test
Correlation test
Error correction mechanism
IRF
Vector autoregression
VDC
GARCH model
Othersa
63
35
32
31
24
24
22
14
15
28
Note: Other tests include autocorrelation function, ARDL, Bai-Perron test, conditional regime
switching model, Durbin-Watson model, Gregory-Hansen cointegration test, stochastic permanent
breaks model, etc
Notes: Other tests include autocorrelation function, ARDL, Bai-Perron test,

conditional regime switching model, Durbin-Watson model, Gregory-Hansen
cointegration test, stochastic permanent breaks model, etc.
Cochrane variance ratio, conditional regime switching model, Geweke measure,

Gregory-Hansen cointegration test, stochastic permanent breaks model and Vogelsang
test, etc. which were used for analyzing the cointegrating relationship in a few studies
but have not widely used techniques.
2. Year wise classification of studies
The year wise distribution of research work is provided in Table III and Figure 3. It can
be clearly observed from the Table III and Figure 3 that the concept of stock market
integration has started gaining popularity in early 2000s but there has been
Stock market
integration
109
Table II.
Frequency econometric
tool used for data
analysis in the studies of
stock market integration
Figure 2.
Frequency econometric
tool used for data analysis
QRFM
4,1
110
Table III.
Year wise classification
of studies on stock
market integration
Figure 3.
Year wise classification
of studies on stock market
integration
S. no.
Year
No. of studies
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
Total
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
01
03
02
03
02
02
02
03
02
03
03
06
03
06
05
10
09
10
14
11
05
105
a significant rise in the research work on stock market integration after 2005. About 60
percent of the research work was done in the last 25 percent of time period, i.e. in recent
six years of the present study, from 2005 to 2010.
3. Country wise distribution of studies
Table IV and Figure 4 summarize the country wise distribution of studies conducted on
stock market integration. Table IV and Figure 4 reveal that out of total 105 studies
considered in the present paper, 26 percent studies are from USA, 10 percent are from
India, 8 percent from UK and Australia each, 6 percent from Greece, 5 percent from
Malaysia, 4 percent each from France and Taiwan, 2 percent each from Canada,
Indonesia, Ireland, Japan, Singapore, Turkey and UAE and remaining 15 percent are
from include the countries like Bangladesh, Brazil, China, Finland, Germany,
Hong Kong, Italy, Jordan, Korea, Kuwait, Lithuania, Morocco, The Netherlands,
Norway and Saudi Arabia.
Stock market
integration
111
4. Number of years taken as a sample data set

The number of years considered as sample data for each study is demonstrated in
Table V and Figure 5 as under. It can be inferred from the Table V and the Figure 5 that
most of the studies have considered the stock market data for the time frame of six to ten
years. It could also be seen that out of 105, 97 studies have data set with the time frame
which lie between one and 20 years and four studies have a data set falling between of
21 and 25 years. And remaining four studies have a data set which falls between time
frames of 26 and 30 years, 36 and 40 years, 51 and 55 years, and 56 and 60 years each.
No study was found with the data set of 31-35 years, 41-45 years and 46-50 years.
S. no.
Country
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
USA
India
UK
Australia
Greece
Malaysia
France
Taiwan
Canada
Indonesia
Ireland
Japan
Singapore
Turkey
UAE
Othersa
Total
No. of studies
28
11
09
09
06
05
04
04
02
02
02
02
02
02
02
16
105
Notes: aOthers include the countries like Bangladesh, Brazil, China, Finland, Germany, Hong Kong,
Italy, Jordan, Korea, Kuwait, Lithuania, Morocco, The Netherlands, Norway, and Saudi Arabia; one
research paper from each of these countries is taken for the present paper
Table IV.
Country wise distribution
of studies on stock
market integration
QRFM
4,1
112
Figure 4.
Country wise distribution
of studies on stock market
integration
Table V.
Number of years
considered as sample
data for studies on stock
market integration
Notes: Others include the countries like Bangladesh, Brazil, China, Finland, Germany,
Hong Kong, Italy, Jordan, Korea, Kuwait, Lithuania, Morocco, The Netherlands, Norway
and Saudi Arabia; one research paper from each of these countries is taken for the present
paper
0-5
6-10
11-15
16-20
21-25
26-30
31-35
36-40
41-45
46-50
51-55
56-60
Total
25
35
22
15
4
1
0
1
0
0
1
1
105
5. Number of countries considered for study forming sample data

Table VI and Figure 6 show the number of countries considered for each study as sample
data for which the integrating relationship was examined. Few interesting findings that
were drawn from Table VI and Figure 6 are that, out of total 105 studies, 104 covered the
Stock market
integration
113
Figure 5.
Number of years
considered as sample data
for studies on stock
market integration
0-5
6-10
11-15
16-20
21-25
26-30
31-35
36-40
41-45
46-50
Total
41
48
14
01
0
0
0
0
0
1
105
number of countries fall between 0-5, 6-10, 11-15 and 16-20. There is only one study out of
105, which has covered 46 countries for examining the linkages among these countries.
The majority of studies have considered the number of countries lies in the interval of
6-10, followed by the interval of 0-5 countries and 11-15 countries.
6. Source from where the papers are collected
The sources from where the research papers are collected are summarized in Table VII
and Figure 7. Going through Table VII and Figure 7, it can be inferred that most of the
papers, i.e. 85 percent of the papers are collected from refereed academic research
journals, 14 percent were collected from other sources like various web sites and
electronic databases of different publishing houses and only one paper is a conference
paper considered for the present study.
VI. Conclusion and future research implications
The present study identified 105 research papers, published and unpublished, from
various journals, web sites and online databases between 1990 and 2010. After reviewing
these papers, it was discovered that there is noticeable growth in the research work
Table VI.
Number of countries
considered as sample for
studies on stock market
integration
QRFM
4,1
114
Figure 6.
Number of countries
considered as sample for
studies on stock market
integration
associated with stock market integration and its related issues. However, there has not
been much research have done regarding the applications of research work on stock
market integration. So far, the research activities were concentrated relatively more on
identifying the degree of linkages among the markets but not its implication. Thus, there
is a need for more research in the same area which would try to find out the reasons of
integration among various stock markets and the factors that may affect the degree of
integration among stock markets at international level.
From this literature survey, it can be seen that the contribution of research work in
the same area during the entire duration has been continuously increasing during the
recent time period, especially from 2005 to 2010. The coverage of stock market
integration across emerging economies has shot up in recent years because the focus of
researchers has also shifted from the stock markets of developed economies toward the
stock markets of emerging economies. The majority of research work of stock market
integration concentrated in countries like USA, UK and Australia but there are many
countries which have not caught the attention of researchers for studying the stock
market integration. Therefore, countries which were uncovered in past literature
should also be included for future research. At the same time, the sample data and
sample countries, considered for the future studies, should be altered to notice any
variation in the results. The data can be examined for integration using some newer
econometric techniques like Geweke measure, Gregory-Hansen cointegration test,
ARDL approach, etc. with the usual tools of correlation test, cointegration test, error
correction mechanism, causality tests, etc. for better understanding of stock markets
behaviour.
Particulars
(A) Journals
Applied Economics Letters
Applied Econometrics and International Development
Applied Financial Economics
Applied Financial Economics Letters
Baltic Journal of Economics
Economics and Management
Emerging Markets Finance and Trade
Emerging Market Review
Gadjah Mada International Journal of Business
Global Economic Review
Global Finance Journal
International Advances in Economic Research
International Journal of Emerging Markets
International Journal of Finance and Economics
International Research Journal of Finance and Economics
International Review of Business Research Papers
International Review of Economic and Finance
International Review of Financial Analysis
Journal of Asian Economics
Journal of Banking & Finance
Journal of Business
Journal of Business and Finance
Journal of Economic Cooperation
Journal of Economic Studies
Journal of Economics and Business
Journal of Emerging Market Finance
Journal of Financial Reporting and Accounting
Journal of International Financial Markets, Institutions and Money
Journal of International Money and Finance
Journal of Money, Investment and Banking
Journal of Multinational Financial Management
MIBES Transactions
Management Dynamics
Management Research News
Managerial Finance
North American Journal of Economics and Finance
Pacific Basin Finance Journal
Pacific Economic Review
Physica A
Pranjana
Research in International Business and Finance
Review of Market Integration
Review of Pacific Basin Financial Markets and Policies
Review of Quantitative Finance and Accounting
Scandinavian Journal of Management
South Asia Economic Journal
Studies in Economics and Finance
The European Journal of Finance
The International Journal of Business and Finance Research
Number of papers
03
01
03
02
01
01
01
01
01
01
02
01
01
01
03
01
02
04
01
02
01
01
02
01
01
02
01
03
03
01
05
01
01
01
05
01
01
01
01
01
03
01
01
01
01
01
03
02
01
(continued)
Stock market
integration
115
Table VII.
Distribution of reviewed
papers from various
sources
QRFM
4,1
Particulars
116
The Journal of Finance

The Manchester School Supplement
The Quarterly of Economics and Finance
The Review of Financial Studies
The Singapore Economic Review
Vision The Journal of Business Perspective
Total
(B) International conference papers
(C) Working papers and othersa
Grand total
Table VII.
Number of papers
03
01
01
01
01
01
89
01
15
105
Note: aOthers include research papers, unpublished thesis and survey on stock market integration
accessed from the internet
Figure 7.
Source of data collection
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About the authors
Dr Anil K. Sharma is working as an Associate Professor in the Department of Management
Studies, Indian Institute of Technology Roorkee, India. He has published several research papers
in national and international journals of repute and is actively engaged in supervision of Ph.D
scholars and MBA research projects. He is on the reviewers panel for various national and
international journals.
Neha Seth is currently a Research Scholar in the Department of Management Studies, Indian
Institute of Technology, Roorkee, India. Her academic and research interest lies in the area of
stock markets. She has published number of papers in various journals and presented several
papers in various national and international conferences. Neha Seth is the corresponding author
and can be contacted at: neha_seth01@yahoo.com
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Literature review of stock market

Qualitative Research in Financial

II. Rationale of the study

The effect of 1987 stock

Predictable stock returns in

7 Park and Fatemi The linkages between the

Correlation in price changes The Review of

2 Jeon and Chiang A system of stock prices in

The evidence of price volatility spillovers was

Findings and conclusions

The results reveal growing market

Unit root test and

Linkages among European

14 Choudhry (1996), Interdependence of stock

Time-varying world market The Journal of

International equity market

Granger unidirectional causality was found

Bivariate causality tests

Regularities in the data

19 Janakiramanan An empirical examination of Journal of

Dynamic linkages and the

Short-run and long-run

Conflicting results were found, which cannot

Findings and conclusions

The European community markets were

Correlation in price changes Journal of

Unit root test (KPSS and

Unit root (ADF) test,

Correlation, VAR and

Unit root (ADF) test,

It was found that the three markets are highly

The results evidenced the absence of

No significant interdependence was found

Findings and conclusions

Causality and cointegration

Long and short term

27 Chang and Nieh

A study of cointegration and

Unit root (ADF and PP)

VECM, VAR, generalized

Unit root test (ADF and PP

Unit root (ADF) test,

Unit root (ADF) test,

At least one cointegrational relationship was

Findings and conclusions

The integration of the East www.mysmu.

Economic integration and

Stock market linkages:

32 Tan and Tse

Stock market integration Applied

31 Huang and Fok

Findings and conclusions

Cointegrating vector explained the

Unit root (ADF) test and

Asian financial crisis: the

Findings and conclusions

Cointegration relationship found in the

Unit root (ADF and PP)

Stock market integration

Financial crisis and African Applied

Unit root (ADF and PP)

Cointegration test and