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 th...
| Главный автор: | |
|---|---|
| Формат: | Журнал |
| Язык: | English |
| Опубликовано: |
Washington, D.C. :
International Monetary Fund,
1996.
|
| Серии: | IMF Working Papers; Working Paper ;
No. 1996/028 |
| Online-ссылка: | Full text available on IMF |