COMMON STOCHASTIC TRENDS IN EUROPEAN STOCK MARKETS

被引：68

作者：

CORHAY, A

RAD, AT

URBAIN, JP

机构：

[1] UNIV LIMBURG,FAC ECON,POB 616,6200 MD MAASTRICHT,NETHERLANDS

[2] STATE UNIV LIEGE,B-4000 LIEGE,BELGIUM

来源：

ECONOMICS LETTERS | 1993年 / 42卷 / 04期

关键词：

D O I：

10.1016/0165-1765(93)90090-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：385 / 390

页数：6