Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland

Frank Westermann

Swiss Journal of Economics and Statistics (SJES), 2002, vol. 138, issue III, 317-328

Abstract: Co-movements of stock market indices in the U.S., the U.K. and Switzerland are analyzed using recent time series procedures. None of the series are found to share common permanent stochastic shocks that drive their long-run fluctuations. In the short run, however, there is evidence of a common serial correlation feature. Further, it is found that the U.S. stock index Granger causes the two other markets. Nevertheless, impulse response functions show little evidence of international spillovers and in a variance decomposition of forecast errors, most of the fluctuations are found to be attributable to shocks from the respective domestic market.

Keywords: Stock Market Indices; Return Correlation; Cointegration; Common Features (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (6)

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