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| Tekijä: | Knif, J. Pynnonem, S. Luoma, M. |
| Otsikko: | Testing for common autocorrelation features of two Scandinavian stock markets |
| Lehti: | International Review of Financial Analysis
1996 : VOL. 5:1, p. 55-64 |
| Asiasana: | FINANCIAL ANALYSIS INTERNATIONAL REVIEW |
| Kieli: | eng |
| Tiivistelmä: | This paper empirically investigates, in the spirit of Engle and Kozicki and Engle and Susmel, the long-run persistence of a common serial correlation feature in the index return series of two closely related Scandinavian equity markets; the Finnish and the Swedish stock markets. The paper covers the period January 1920 through December 1993. Monthly index quotations for the period are analyzed as a complete series and for four structurally different subperiods. |
SCIMA