Publication Details

Ali, S., Butt, B. & ur Rehman, K. (2011). Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis. World Applied Sciences Journal, 12 (4), 395-403.


Globalization has amplified interest of academics and investors to the subject of co movement among the stock markets of the world. This study investigates the co movement of Pakistan's Equity Market with the markets of India, China, Indonesia, Singapore, Taiwan, Malaysia, Japan, USA and UK by using co integration test on monthly stock prices from the period of July 1998 to June 2008. The results reveal that there is no co movement of Pakistan's equity market with the markets of UK, USA, Taiwan, Malaysia and Singapore. Therefore, investors can reduce risk through investment in these countries. Whereas the stock prices of Pakistan equity market move together with the stock prices of India, China, Japan and Indonesia so there is no chance of risk minimization for investors through international portfolio in these countries. Furthermore the role of stock exchange structure is not found in the co movement of Pakistan stock market with the selected stock markets.

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