Common Stochastic Trends and Convergence of European Union Stock Markets
Apostolos Serletis () and
The Manchester School of Economic & Social Studies, 1997, vol. 65, issue 1, 44-57
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
References: Add references at CitEc
Citations: View citations in EconPapers (52) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:manch2:v:65:y:1997:i:1:p:44-57
Access Statistics for this article
More articles in The Manchester School of Economic & Social Studies from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().