The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control
用协整方法评估英国1979年废除外汇管制后，英国与海外股票市场长期联动性增强，短期相关性无显著变化，表明长期分散化投资无收益。
This paper aims to assess the impact of the abolition of U.K. exchange control on the degre of integration of U.K. and overseas stock markets. Using cointegration techniques, we find that although there is no significant increase in the correlation of short-run stock market returns for the United Kingdom and certain overseas markets post 1979, there does appear to be a marked increase in the degree to which these markets move together in the long run after this date--there appears to be no long-run gain from diversification. Since cointegration of two variables implies that at least one of them can be used to help forecast the other, our findings also imply the inefficiency of a number of stock markets