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Common long-term and short-term price memory in two Scandinavian stock markets

Listed author(s):
  • Seppo Pynnonen
  • Johan Knif
Registered author(s):

    This paper expands the recent empirical studies of international capital market integration in mainly three aspects. First, the study focuses on two Scandinavian markets, the Finnish and the Swedish, that are receiving more and more attention by international analysts in light of the ongoing European integration. For investors, these new markets offer interesting diversification opportunities. Secondly, the study covers a very long time span from January 1920 to December 1994. Thirdly, using a variety of approaches the paper clarifies previously published confusing results regarding the lead - lag structure between these markets. The results indicate that no evident cointegration or even fractional cointegration between the markets exist. An analysis of short-term dynamics indicates that virtually all shock impulses are absorbed in both markets within one month. Sub-period analyses reveal increasing instantaneous causality between the markets in the passage of time, whereas no meaningful Granger-causality is found.

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    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 8 (1998)
    Issue (Month): 3 ()
    Pages: 257-265

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    Handle: RePEc:taf:apfiec:v:8:y:1998:i:3:p:257-265
    DOI: 10.1080/096031098333014
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