Testing for Long-Run Comovement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean

Abstract

This study investigates comovement, common features and efficiency in CARICOM stock markets. The stock markets of Barbados, Jamaica and Trinidad and Tobago are examined for the period 1991:1-2006:12, using the techniques of cointegration and common feature testing. No evidence is found of long-run or short-run comovement, or common features. These findings imply that (1) the BSE, JSE and TTSE are weakly efficient; (2) markets are segmented; and (3) there may be benefits from regional diversification of asset portfolios.