Pynnonen, Seppo, and Johan Knif (1998). Common long-term and short-term price memory in two Scandinavian stock markets. Applied Financial Economics 8, 257--265.

Abstract
The paper expands the recent empirical studies on international capital market integration in mainly three aspects. First, the study focuses on two Scandinavian (the Finnish and Swedish) markets that are receiving more and more attention by international analysts in light of the ongoing European integration. For investors, these new markets offer interesting diversification opportunities. Secondly, the study covers a very long time span, extending from January 1920 to December 1994. Thirdly, using a variety of approaches, the paper clarifies previously published confusing results regarding the lead-lag structure between these markets. The results indicate that there is no evident cointegration or even fractional cointegration between the two markets. An analysis of short-term dynamics indicates that, on both markets, virtually all shock impulses are absorbed within one month. Sub-period analyzes reveal increasing instantaneous causality between the markets over the passing of time, whereas no meaningful Granger-causality is found.