Cointegration of International Stock Market Indices /
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United Sta...
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| Kolejni autorzy: | , |
| Format: | Czasopismo |
| Język: | English |
| Wydane: |
Washington, D.C. :
International Monetary Fund,
1994.
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| Seria: | IMF Working Papers; Working Paper ;
No. 1994/094 |
| Hasła przedmiotowe: | |
| Dostęp online: | Full text available on IMF |