Encyclopedia entry
A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990?
Journal of ECONOMICS & BUSINESS, Vol.43(4), pp.329-338
GBI-GENIOS Deutsche Wirtschaftsdatenbank GmbH
01 Jan 1991
Abstract
This article reports an investigation of the behavior of stock prices in major world stock exchanges based on univariate and multivariate approaches. The evidence shows that each series of stock prices in the New York, London, Tokyo, and Frankfurt stock exchanges during the period from January 1975 through March 1990 has a unit root. The multivariate tests for unit roots, however, show that there are three unit roots in a system of stock prices in the world's four largest stock exchanges, suggesting the existence of a common stochastic trend in the system. The subsample estimation results are consistent with greater globalization of world stock markets during the 1980s.
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Details
- Title
- A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990?
- Creators
- Bang Nam JeonThomas C Chiang
- Publication Details
- Journal of ECONOMICS & BUSINESS, Vol.43(4), pp.329-338
- Publisher
- GBI-GENIOS Deutsche Wirtschaftsdatenbank GmbH
- Resource Type
- Encyclopedia entry
- Language
- English
- Academic Unit
- [Retired Faculty]; Economics (School of Economics)
- Identifiers
- 991019184200004721