Common stochastic trends and convergence of European Union stock markets

被引：45

作者：

Serletis, A ^{[1
]}

King, M ^{[1
]}

机构：

[1] NATL ENERGY BOARD,CALGARY,AB,CANADA

来源：

MANCHESTER SCHOOL OF ECONOMIC AND SOCIAL STUDIES | 1997年 / 65卷 / 01期

关键词：

D O I：

10.1111/1467-9957.00042

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using data obtained from the OECD's monthly economic indicators, we convert measures of stock performance to real deutschmark units and present evidence on the number of common stochastic trends in ten European Union stock markets. Moreover, we measure the degree of convergence of these stock markets using the time-varying parameter (Kalman filter) methodology suggested by Haldane and Hall (Economic Journal (1991), Vol. 101, No. 406, pp. 436-443).

引用

页码：44 / 57

页数：14

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