The international co-movements of Finish stocks

Theodore Bos, Thomas Fetherston, Teppo Martikainen and Jukka Perttunen

The European Journal of Finance, 1995, vol. 1, issue 1, 95-111

Abstract: This paper provides new empirical evidence on the international co-movements of Finnish stocks. The vector autoregression (VAR) approach indicates that US and especially Swedish stock markets lead Finnish stock market returns by approximately one or two months. The results based on international market models indicate that the returns of individual Finnish stocks are significantly positively related to those of Sweden, while the relation between Finnish and US returns is significantly lower. The relation seems to vary clearly between industries, some industries being related to US markets as well. Significant time-series instability is reported in the results, however.

Keywords: finance; asset pricing; stock markets; international; stability (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/13518479500000011

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