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http://hdl.handle.net/10419/23972
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| Title: | | The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study  |
| Authors: | | Eberts, Elke |
| Issue Date: | | 2003 |
| Series/Report no.: | | ZEW Discussion Papers 03-36 |
| Abstract: | | This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating relation considers information about a systematic link between the stock market indices, containing a common stochastic trend of both, differences from the random walk occur particularly in the long run. Thus, the estimation period shows that with increasing forecasting horizon predictability of simple real returns of the German stock market gets more accurate than reflected traditionally. |
| Subjects: | | Co-integration of international stock markets random walk discretely and continuously compounded returns impulse responses |
| JEL: | | F36 C53 C52 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des ZEW ZEW Discussion Papers
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