Common Stochastic Trends and Convergence of European Union Stock Markets

Apostolos Serletis () and Martin King

The Manchester School of Economic & Social Studies, 1997, vol. 65, issue 1, pages 44-57

Abstract: Using data obtained from the OECD's monthly economic indicators, the authors convert measures of stock performance to real Deutschemark units and present evidence on the number of common stochastic trends in ten EU stock markets. Moreover, they measure the degree of convergence of these stock markets using the time-varying parameter (Kalman filter) methodology suggested by A. G. Haldane and S. G. Hall (1991). Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:bla:manch2:v:65:y:1997:i:1:p:44-57

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