STOCK RETURNS IN EMERGING MARKETS - A COMMON TREND ANALYSIS

Authors
CHAUDHURI K
Citation
K. Chaudhuri, STOCK RETURNS IN EMERGING MARKETS - A COMMON TREND ANALYSIS, Applied economics letters, 4(2), 1997, pp. 105-108
Citations number
13
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
4
Issue
2
Year of publication
1997
Pages
105 - 108
Database
ISI
SICI code
1350-4851(1997)4:2<105:SRIEM->2.0.ZU;2-N
Abstract
An empirical investigation is offered of the number of common trends i n stock returns in seven Asian emerging markets. There is evidence of a single common trend. Following Kasa (Kasa, K., 1992, Common stochast ic trends in international stock markets, Journal of Monetary, Economi cs, 29, 95-124) a measure is obtained of common trend and graphic evid ence is provided in favour of market interdependence.