Knif, J., Pynnonen, S., and Luoma, M. (1996). Testing for common autocorrelation features of two Scandinavian Stock Markets. International Review of Financial Analysis, 5, No. 1, 55--64

This paper empirically investigates, in the spirit of Engle and Kozicki (1993) and Engle and Susmel (1993), the long-term persistence of a common serial correlation feature in the index return series of two closely related Scandinavian equity markets; i.e. the Finnish and the Swedish stock markets. The time period covered starts in January 1920 and ends in December 1993, consists of monthly index quotations; it is analyzed as a complete series and split into four structurally different periods. Both of the return series seem to have an autocorrelation component present both before and after the Second World War, this feature being more pronounced in the Helsinki return series. The strongest common autocorrelation feature is found in the period after the oil crises. Nevertheless, the feature does not seem to be common throughout all the subperiods considered. The common codependence in the last subperiod can be interpreted as a sign indicating that integration between the markets is increasing.