Long-run determinants of stock market comovements in EMS countries
Yin-Wong Cheung, Kon S Lai, University of California, Santa Cruz. Group for International and Comparative Economic Studies
Group for International and Comparative Economic Studies, Dept. of Economics, University of California, Santa Cruz, 1993 - Business & Economics - 25 pages
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1993 The Economic Chen Cointegrating Vector cointegration analysis Cointegration and Common cointegration relationship cointegration system cointegration test common long-memory components common trend comovements of stock consumer price index Dickey-Fuller dividend series dividend yields Eigenvalue Eigenvector European Monetary System Exchange Rate exclusion restriction tests factor in stock Factor Model Estimation Fama FR.t GM.t groups of variables industrial production series Italy Johansen's K.C. Fung linkage long-run behavior long-term comovements macroeconomic variables Menzie Chinn Michael Dooley Michael Hutchison money supply series MSCI national stock markets Nirvikar Singh null hypothesis October presence of long-term rank of cointegration real money supply real stock price Residual Check respective real Selection and Residual serial correlation series for France Series Lag Selection spot exchange rate stock indexes stock market comovements stock price series stock returns test statistic Testing for Cointegration three EMS countries U.S. dollar unit root Unit-Root Tests X2-Test p-value Yin-Wong Cheung Kon