| Description |
1 online resource (iii, 25 pages) |
| Series |
IMF working paper ; WP/96/28 |
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IMF working paper ; WP/96/28.
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| Summary |
Annotation 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 that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of winner-loser reversals across 16 national equity markets. a conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory |
| Bibliography |
Includes bibliographical references (pages 23-25) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
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English |
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digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
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Print version record |
| Subject |
Stock price forecasting.
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Stock price indexes.
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Stock exchanges.
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Stock exchanges.
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Stock price forecasting.
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Stock price indexes.
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| Form |
Electronic book
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| Author |
International Monetary Fund. European II Department, issuing body.
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| ISBN |
1455294748 |
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9781455294749 |
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1462361161 |
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9781462361168 |
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1455280739 |
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9781455280735 |
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1281093149 |
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9781281093141 |
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9786613776198 |
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661377619X |
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