THE RELATIONSHIP AMONG EQUITY MARKETS: COMMENT.

The article presents comments on the article "The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan" by Tamir Agmon, originally published in September 1972 issue of "The Journal of Finance." The authors claim that the model put forth by Agmon does not embody a single-market hypothesis. It is argued that a one-country capital asset pricing model cannot simply be extended to the international case unless exchange-risk is correctly incorporated.