Journal article
Common Stochastic Trends and Predictability of International Stock Prices
Journal of the Japanese and international economies, v 9(3), pp 245-277
1995
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper investigates comovements and predictability of aggregate stock prices in Japan, Germany, the United Kingdom and the United States for the period from January 1975 to December 1990. The paper finds that the unit root nonstationary stock prices in the four countries are cointegrated with a single cointegrating vector, and share a long-run equilibrium relationship. Since each national stock price series contains information on the common stochastic trends, the predictability of one country′s stock prices can be enhanced significantly by utilizing information on other countries′ stock prices and on world common stochastic trends. It is found that U.S. stock prices contain substantial information on future movements of other countries′ stock prices. The subsample estimation results provide evidence of increasing comovements of stock prices and of the increasing importance of U.S. and Japanese stock prices in the major world stock markets during the 1980s.
J. Japan. Int. Econ., September 1995,
9(3), pp.245–277. Carlson School of Management, University of Minnesota, Minneapolis, MN 55455; and Department of Economics, Drexel University, Philadelphia, Pennsylvania 19104
Metrics
Details
- Title
- Common Stochastic Trends and Predictability of International Stock Prices
- Creators
- Bong-Soo LeeBang Nam Jeon
- Publication Details
- Journal of the Japanese and international economies, v 9(3), pp 245-277
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:A1995RY30600002
- Scopus ID
- 2-s2.0-0000091759
- Other Identifier
- 991019330626604721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Economics
- International Relations