In an economic environment where international considerations are prominent, knowledge of the structure of the international equity market is important. Individual investors are interested in knowing the relationship among different national stock prices because it facilitates international diversification. Economists also pay attention to the relationship because it affects capital flows, and investment and consumption decisions.
Chung, Pin J. and Liu, Donald J., "The Random Trend in Stock Price Change Stays mainly in the Cointegration Plane" (1993). Economic Staff Paper Series. 248.