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...
| Κύριος συγγραφέας: | |
|---|---|
| Μορφή: | Επιστημονικό περιοδικό |
| Γλώσσα: | English |
| Έκδοση: |
Washington, D.C. :
International Monetary Fund,
1996.
|
| Σειρά: | IMF Working Papers; Working Paper ;
No. 1996/028 |
| Διαθέσιμο Online: | Full text available on IMF |