01778cas a2200241 a 4500 AALejournalIMF000228 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451844610 1018-5941 BD-DhAAL BD-DhAAL Richards, Anthony. Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration / Anthony Richards. Washington, D.C. : International Monetary Fund, 1996. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of 'winner-loser' reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1996/028 Full text available on IMF http://elibrary.imf.org/view/journals/001/1996/028/001.1996.issue-028-en.xml IMF e-Library