Common trends and common cycles in stock markets

被引：7
|
作者：
Narayan, Paresh Kumar [1 ]
Thuraisamy, Kannan S. [1 ]
机构：
[1] Deakin Univ, Fac Business & Law, Sch Accounting Econ & Finance, Ctr Financial Econometr, Burwood, Vic 3125, Australia
来源：
ECONOMIC MODELLING | 2013年 / 35卷
关键词：
Stock prices; Trend-cycle decomposition; Permanent and transitory shocks; COINTEGRATION; PRODUCTIVITY; FEATURES; PRICES; BREAKS;
D O I：
10.1016/j.econmod.2013.08.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we examine the role of permanent and transitory shocks in explaining variations in the S&P 500, Dow Jones and the NASDAQ Our modeling technique involves imposing both common trend and common cycle restrictions in extracting the variance decomposition of shocks. We find that: (1) the three stock price indices are characterized by a common trend and common cycle relationship; and (2) permanent shocks explain the bulk of the variations in stock prices over short horizons. (C) 2013 Elsevier B.V. All rights reserved.
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页码：472 / 476
页数：5
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