Comovements in National Stock Market Returns
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 awinner-losera 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.Testing for awinner-losera effects across national stock markets A related approach for testing predictability in relative returns is to simulate the performance of a trading rule based on the awinner-losera effect. A number of researchers, anbsp;...
| Title | : | Comovements in National Stock Market Returns |
| Author | : | Mr. Anthony J. Richards |
| Publisher | : | International Monetary Fund - 1996-04-01 |
You must register with us as either a Registered User before you can Download this Book. You'll be greeted by a simple sign-up page.
Once you have finished the sign-up process, you will be redirected to your download Book page.
How it works:- 1. Register a free 1 month Trial Account.
- 2. Download as many books as you like (Personal use)
- 3. Cancel the membership at any time if not satisfied.
