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Stochastic Trends in Stock Prices: Evidence from Latin American Markets

Journal of macroeconomics, 1997-04, Vol.19 (2), p.285-304 [Peer Reviewed Journal]

1997 Elsevier Science B.V. ;Copyright Elsevier Science Ltd. Spring 1997 ;ISSN: 0164-0704 ;EISSN: 1873-152X ;DOI: 10.1016/S0164-0704(97)00016-5

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  • Title:
    Stochastic Trends in Stock Prices: Evidence from Latin American Markets
  • Author: Choudhry, Taufiq
  • Subjects: Economic theory ; Latin America ; Price indexes ; Stochastic models ; Stochastic processes ; Stock prices ; Studies
  • Is Part Of: Journal of macroeconomics, 1997-04, Vol.19 (2), p.285-304
  • Description: This paper investigates the long-run relationship between stock indices from six Latin American markets and the United States. The empirical investigation is conducted using weekly data from January 1989 to December 1993, unit root tests, cointegration tests, and error-correction models. Results from the unit root tests provide evidence of a stochastic trend in all indices. Results from the cointegration tests indicate the presence of a long-run relationship between the six Latin American indices (with and without the United States index). Error-correction results indicate significant causality among the stated indices.
  • Publisher: Detroit: Elsevier Inc
  • Language: English
  • Identifier: ISSN: 0164-0704
    EISSN: 1873-152X
    DOI: 10.1016/S0164-0704(97)00016-5
  • Source: Alma/SFX Local Collection
    RePEc
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