Resource title

The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study

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image for OpenScout resource :: The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study

Resource description

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.

Resource author

Elke Eberts

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/23972

Resource license

Adapt according to the presented license agreement and reference the original author.