Stock returns in emerging markets: a common trend analysis

Kausik Chaudhuri

Applied Economics Letters, 1997, vol. 4, issue 2, 105-108

Abstract: An empirical investigation is offered of the number of common trends in stock returns in seven Asian emerging markets. There is evidence of a single common trend. Following Kasa (Kasa, K., 1992, Common stochastic trends in international stock markets, Journal of Monetary Economics, 29, 95-124) a measure is obtained of common trend and graphic evidence is provided in favour of market interdependence.

Date: 1997
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DOI: 10.1080/758526705

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