Stock returns in emerging markets: a common trend analysis
AbstractAn empirical investigation is offered of the number of common trends in stock returns in seven Asian emerging markets. There is evidence of a single common trend. Following Kasa (Kasa, K., 1992, Common stochastic trends in international stock markets, Journal of Monetary Economics, 29, 95-124) a measure is obtained of common trend and graphic evidence is provided in favour of market interdependence.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 4 (1997)
Issue (Month): 2 ()
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- Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.
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