Comovements in national stock market returns: Evidence of predictability, but not cointegration

Journal of Monetary Economics

Volumn 36, Issue 3, 1995, Pages 631-654

  Richards, Anthony J ^a  

^a INTERNATIONAL MONETARY FUND   (United States)

Author keywords

Cointegration; International equity pricing; Return predictability; Winner loser effect

Indexed keywords

EID: 0000923251     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-3932(95)01225-7     Document Type: Article

References (34)

1. International stock market linkages: Evidence from the pre- and post-October 1987 period
2. Problems in measuring portfolio performance: An application to contrarian investment strategies
3. Market integration and investment barriers in emerging equity markets
4. Some evidence on the interdependence of national stock markets and the gains from international portfolio diversification
5. Pitfalls and opportunities: What macroeconomists should know about unit roots
6. FINITE-SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION
7. Common stochastic trends in European stock markets
8. Speculative Dynamics
9. Does the Stock Market Overreact?
10. Cointegration and market efficiency
11. Co-Integration and Error Correction: Representation, Estimation, and Testing
12. Permanent and Temporary Components of Stock Prices
13. Investor diversification and international equity markets
14. DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES
15. Testing for cointegration in linear quadratic models
16. THE EFFECT OF VARYING LENGTH VAR MODELS ON THE MAXIMUM LIKELIHOOD ESTIMATES OF COINTEGRATING VECTORS
17. The World Price of Covariance Risk
18. International Equity and Bond Returns
19. Statistical analysis of cointegration vectors
20. MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY
21. Common stochastic trends in international stock markets
22. Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
23. Transmission of volatility between stock markets
24. Asymptotic Properties of Residual Based Tests for Cointegration
25. Mean reversion in stock prices: Evidence and implications
26. Testing the efficiency of the Athens Stock Exchange: Some results from the banking sector
27. The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control