Format:
Online-Ressource (30 p)
Edition:
Online-Ausg.
ISBN:
1451844611
,
9781451844610
Series Statement:
IMF Working Papers Working Paper No. 96/28
Content:
This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of “winner-loser” reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory
Additional Edition:
Erscheint auch als Druck-Ausgabe Richards, Anthony Comovements in National Stock Market Returns: Evidence of Predictability But Not Cointegration Washington, D.C. : International Monetary Fund, 1996 ISBN 9781451844610
Language:
English
DOI:
10.5089/9781451844610.001
