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Common Stochastic Trends and Convergence of European Union Stock Markets
Author(s) -
Serletis Apostolos,
King Martin
Publication year - 1997
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/1467-9957.00042
Subject(s) - economics , stock (firearms) , european union , econometrics , financial economics , kalman filter , convergence (economics) , international economics , macroeconomics , mathematics , geography , statistics , archaeology
Using data obtained from the OECD's monthly economic indicators, we convert measures of stock performance to real deutschmark units and present evidence on the number of common stochastic trends in ten European Union stock markets. Moreover, we measure the degree of convergence of these stock markets using the time‐varying parameter (Kalman filter) methodology suggested by Haldane and Hall ( Economic Journal (1991), Vol. 101, No. 406, pp. 436–443).