Common trends and common cycles in stock markets

Narayan, Paresh Kumar and Thuraisamy, Kannan S 2013, Common trends and common cycles in stock markets, Economic modelling, vol. 35, pp. 472-476.

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Title Common trends and common cycles in stock markets
Author(s) Narayan, Paresh Kumar
Thuraisamy, Kannan S
Journal name Economic modelling
Volume number 35
Start page 472
End page 476
Total pages 5
Publisher Elsevier BV
Place of publication Amsterdam, The Netherlands
Publication date 2013-09
ISSN 0264-9993
Keyword(s) permanent and transitory shocks
stock prices
trend-cycle decomposition
Summary 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.
Language eng
Field of Research 150202
Socio Economic Objective 910103 Economic Growth
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2013
Copyright notice ©2013, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30056351

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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