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COMMON STOCHASTIC TRENDS AMONG THE CYPRUS STOCK EXCHANGE AND THE ASE, LSE AND NYSE
Author(s) -
Constantinou Eleni,
Kazandjian Avo,
Kouretas Georgios P.,
Tahmazian Vera
Publication year - 2008
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/j.1467-8586.2008.00282.x
Subject(s) - stock exchange , equity (law) , stock market crash , financial economics , market maker , stock (firearms) , stock market , economics , stock market bubble , business , monetary economics , finance , geography , context (archaeology) , archaeology , political science , law
Common stochastic trends among major international stock price indices have been an intensively analysed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange, and three mature equity markets, namely the Athens Stock Exchange (ASE), the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE).