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Abstract
This study attempts to re-investigate whether there exist long-run benefits from international equity diversification between Japan and its major trading partners, Asian countries (Malaysia, Singapore, South Korea and Taiwan) and the USA, using a more powerful nonparametric cointegration test developed by Bierens (Citation1997), over the period 1 July 1999 to 31 December 2004. The results from this test suggest that the Japanese stock market is pairwise cointegrated with the Malaysia, Singapore, Taiwan and the US stock market but not with the market of South Korea. These findings should prove valuable to individual investors and financial institutions holding long-run investment portfolios in these markets.