| Summary: | 碩士 === 逢甲大學 === 金融碩士在職專班 === 100 === This study attempt to re-investigate whether there exists long-run benefits from international equity diversification between the transition countries (i.e., Bulgaria, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, and Russia) and one of their major trading partners, Germany, using a more powerful nonparametric cointegration test developed by Bierens (1997), over the October 2000 to November 2010 period. The results from this test suggest that all the transition countries’ stock markets are not pairwise cointegrated with the stock market of the Germany. These findings should prove valuable to individual investors and financial institutions holding long-run investment portfolios in these markets.
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