Inter - Relatedness of Stock Markets: A Spectral Investgation of USA, Japanese, and Indian Markets - A Note

As a recurrent theme in the investigation of the existence of internationl portfolio diversification. (Grubel, 1968), several studies have sought to examine the extent of the inter-temporal relationship amongst national stock price indices in an effort to discover the degree to which national capital markets are integrated (Granger and Morgenstern, 1910, Hilliard, 1979, Agmon 1974).