Common stochastic trends in European stock markets

[en] The objective of the paper is to investigate whether price indices of different European stock markets display a common long-run trending behaviour. Using cointegration analysis, we provide empirical evidence of common stochastic trends among five important European stock markets over the period 1975-1991.

Disciplines :

Finance

Author, co-author :

Corhay, Albert ; Université de Liège - ULiège > Comptabilité et finance

Tourani-Rad, Alireza

Urbain, Jean-Pierre ; Université de Liège - ULiège > HEC-Ecole de gestion > HEC-Ecole de gestion

Language :

English

Title :

Common stochastic trends in European stock markets

Publication date :

1993

Journal title :

Economics Letters

ISSN :

0165-1765

eISSN :

1873-7374

Publisher :

Elsevier

Volume :

Issue :

Pages :

385-390

Peer reviewed :

Peer reviewed

Additional URL :

http://www.elsevier.com/wps/find/journaldescription.cws_home/505574/description#description

Available on ORBi :

since 26 August 2011

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Scopus citations^®

115

Scopus citations^®
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114

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112

Bibliography

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