Testing for convergence in stock markets : a non-linear factor approach

@inproceedings{Caporale2009TestingFC,
  title={Testing for convergence in stock markets : a non-linear factor approach},
  author={Guglielmo Maria Caporale},
  year={2009}
}
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and Watson (1998) procedure to filter the data in order to extract the long-run component of the… CONTINUE READING
Highly Cited
This paper has 21 citations. REVIEW CITATIONS