Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests th...

Full description

Main Author: Richards, Anthony J.
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1996, 1996
Series:IMF Working Papers; Working Paper
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
LEADER 01910nmm a2200385 u 4500
001 EB000927379
003 EBX01000000000000000720975
005 00000000000000.0
007 cr|||||||||||||||||||||
008 150128 ||| eng
020 |z 9781451844610 
020 |a 9781451844610 
020 |a 1451844611 
100 1 |a Richards, Anthony J. 
245 0 0 |a Comovements in National Stock Market Returns  |h electronic resource  |b Evidence of Predictability But Not Cointegration  |c Anthony J Richards 
260 |a Washington, D.C.  |b International Monetary Fund  |c 1996, 1996 
300 |a 30 p. 
651 4 |a Canada 
651 4 |a Germany 
651 4 |a United Kingdom 
651 4 |a United States 
651 4 |a Japan 
653 |a Predictability 
653 |a Stock Prices 
653 |a Cointegration 
653 |a Statistics 
653 |a Stock Market 
041 0 7 |a eng  |2 ISO 639-2 
989 |b IMF  |a International Monetary Fund 
490 0 |a IMF Working Papers; Working Paper 
028 5 0 |a 10.5089/9781451844610.001 
856 |u http://elibrary.imf.org/view/IMF001/01308-9781451844610/01308-9781451844610/01308-9781451844610.xml  |x Verlag  |3 Volltext 
082 0 |a 330 
520 |a This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of "winner-loser" reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory