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...
| Autor Principal: | |
|---|---|
| Formato: | Revista |
| Idioma: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
1996.
|
| Series: | IMF Working Papers; Working Paper ;
No. 1996/028 |
| Acceso en liña: | Full text available on IMF |