Common trends and common cycles in stock markets
Data(s) |
01/09/2013
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Resumo |
In this paper we examine the role of permanent and transitory shocks in explaining variations in the S&P 500, Dow Jones and the NASDAQ. Our modeling technique involves imposing both common trend and common cycle restrictions in extracting the variance decomposition of shocks. We find that: (1) the three stock price indices are characterized by a common trend and common cycle relationship; and (2) permanent shocks explain the bulk of the variations in stock prices over short horizons. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier BV |
Relação |
http://dro.deakin.edu.au/eserv/DU:30056351/narayan-commontrends-2013.pdf http://dro.deakin.edu.au/eserv/DU:30056351/narayan-commontrends-evid-2013.pdf http://doi.org/10.1016/j.econmod.2013.08.002 |
Direitos |
2013, Elsevier |
Palavras-Chave | #permanent and transitory shocks #stock prices #trend-cycle decomposition |
Tipo |
Journal Article |