The Random Trend in Stock Price Change Stays mainly in the Cointegration Plane

Pin J. Chung and Donald J. Liu

ISU General Staff Papers from Iowa State University, Department of Economics

Abstract: In an economic environment where international considerations are prominent, knowledge of the structure of the international equity market is important. Individual investors are interested in knowing the relationship among different national stock prices because it facilitates international diversification. Economists also pay attention to the relationship because it affects capital flows, and investment and consumption decisions.

Date: 1993-02-01
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