Macroeconomic determinants of long-term stock market comovements among major EMS countries
Dept. of Economics, University of California, Santa Cruz, 1997 - 34 pages
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Anming Zhang CityU Baekin Cha California and CityU California State University CityU and University Clement Yuk-pang Wong Cointegrating Vector cointegration relationship common permanent components comovements of stock component in stock Department of Economics dividend series dividends and industrial double asterisk dynamics Economics and Finance eigenvalue vector EMS stock markets estimation is selected European Monetary System Exclude Germany and Italy H.K. Baptist College Hong Kong i i i indicates significance Italy Kui-wai lag order Lilian Kheng-lian linkage linked long-term comovements long-term market comovements Long-Term Stock Market macroeconomic variables market psychology Martin Shubik money supply money supply series national stock markets rank of cointegration Schwarz information criterion series for France standard Schwarz information Stephen Yan-leung Cheung stock market comovements stock returns Table Testing for Cointegration three EMS countries U.S. Dollar unit root University of California University of Hong University of Victoria X2-Test p-value Yimin Zhang University Yin-Wong Cheung University