COMMON STOCHASTIC TRENDS IN EUROPEAN STOCK MARKETS

Authors
CORHAY A RAD AT URBAIN JP
Citation
A. Corhay et al., COMMON STOCHASTIC TRENDS IN EUROPEAN STOCK MARKETS, Economics letters, 42(4), 1993, pp. 385-390
Citations number
11
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
42
Issue
4
Year of publication
1993
Pages
385 - 390
Database
ISI
SICI code
0165-1765(1993)42:4<385:CSTIES>2.0.ZU;2-5
Abstract
The objective of the paper is to investigate whether price indices of different European stock markets display a common long-run trending be haviour. Using cointegration analysis, we provide empirical evidence o f common stochastic trends among five important European stock markets over the period 1975-1991.