Comovements in national stock market returns: Evidence of predictability, but not cointegration
- 1 December 1995
- journal article
- Published by Elsevier in Journal of Monetary Economics
- Vol. 36 (3) , 631-654
- https://doi.org/10.1016/0304-3932(95)01225-7
Abstract
No abstract availableKeywords
All Related Versions
This publication has 25 references indexed in Scilit:
- Problems in measuring portfolio performance An application to contrarian investment strategiesJournal of Financial Economics, 1995
- Market Integration and Investment Barriers in Emerging Equity MarketsThe World Bank Economic Review, 1995
- Some evidence on the interdependence of national stock markets and the gains from international portfolio diversificationApplied Financial Economics, 1993
- FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATIONOxford Bulletin of Economics and Statistics, 1993
- International stock market linkages: Evidence from the pre- and post-October 1987 periodJournal of Banking & Finance, 1993
- Common stochastic trends in European stock marketsEconomics Letters, 1993
- Cointegration and market efficiencyJournal of International Money and Finance, 1992
- Speculative DynamicsThe Review of Economic Studies, 1991
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- Does the Stock Market Overreact?The Journal of Finance, 1985