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The Random Trend in Stock Price Change Stays mainly in the Cointegration Plane

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  • Chung, Pin J.
  • Liu, Donald J.

Abstract

In an economic environment where international considerations are prominent, knowledge of the structure of the international equity market is important. Individual investors are interested in knowing the relationship among different national stock prices because it facilitates international diversification. Economists also pay attention to the relationship because it affects capital flows, and investment and consumption decisions.

Suggested Citation

  • Chung, Pin J. & Liu, Donald J., 1993. "The Random Trend in Stock Price Change Stays mainly in the Cointegration Plane," ISU General Staff Papers 199302010800001246, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genstf:199302010800001246
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    References listed on IDEAS

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