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...
| Главный автор: | |
|---|---|
| Другие авторы: | , |
| Формат: | Журнал |
| Язык: | English |
| Опубликовано: |
Washington, D.C. :
International Monetary Fund,
1994.
|
| Серии: | IMF Working Papers; Working Paper ;
No. 1994/094 |
| Предметы: | |
| Online-ссылка: | Full text available on IMF |