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, doi: 10.1016/j.econmod.2013.08.002.

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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
DOI 10.1016/j.econmod.2013.08.002
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
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Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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