Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

Evidence of Predictability But Not Cointegration

Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration
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... READ MORE...

Publication date: April 1996
ISBN 9781451844610
$15.00

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