Abstract
This study attempts to investigate the inter linkages between equity market of G-8 countries. Daily data of stock market returns of G-8 equity markets for the period of 2000 to 2010 has been used. These markets include Canada, France, Germany, Italy, Japan, Russia, United Kingdom and United States. In order to explore the interlinkages among these markets, Granger causality test, Johansen and Juselius Multivariate test, Bi-variate co-integration test, Variance Decomposition and Vector error correction models have been used. The results reveal that co integration exists in equity markets of G-8 countries thus these markets do not offer an opportunity for porNolio diversification to the investors. Further, policy makers of these countries should be careful as the contagious problem may flow to these markets.
HABIB UR REHMAN. (2014) INTERLINKAGES BETWEEN EQUITY MARKETS OF G-8 COUNTRIES, Jinnah Business Review, Volume 2, Issue 1.
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