Detail Testing for Common Autocorrelation Features of Two Scandinavian Stock Markets   Oleh:  Luoma, Martti ; Pynnonem, Seppo ; Knif, Johan Jenis: Article from Bulletin/Magazine Dalam koleksi: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS vol. 5 no. 1 (1996), page 55-64. Topik: stock market; auto correlation; features; stock markets Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: II7 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel This paper empirically investigates, in the spirit of Engle and Kozicki (1993) and Engle and Susmel (1993), the long - run persistence of a common serial correlation feature in the index return series of two closely related Scandinavian equity markets ; the Finnish and the Swedish stock markets. The paper covers the period January 1920 through December 1993. Monthly index quotations for the period are analyzed as a complete series and for four structurally different subperiods. The return series for both Finland and Sweden seem to have an autocorrelation component present both before and after World War II, but this feature is more pronounced in the Helsinki return series. The strongest common autocorrelation feature is found in the period after the 1974 oil crisis. Nevertheless, the feature does not seem to be common over all the subperiods considered. The common codependence in the last subperiod can be interpreted as a sign of increasing integration between the markets. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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