Common stochastic trends in international stock markets
用1974-1990年美日英德加五国股市数据，发现这些市场存在一个共同随机趋势，且该趋势在日本最重要、加拿大最不重要；还通过股息和GNP数据验证了这一结论。
This paper presents evidence concerning the number of common stochastic trends in the equity markets of the U.S., Japan, England, Germany, and Canada. Monthly and quarterly data from January 1974 through August 1990 on Morgan Stanley's Capital International indices are used to compute Johansen (1990) tests for common trends. The results indicate the presence of a single common trend driving these countries' stock markets. Estimates of the factor loadings suggest that this trend is most important in the Japanese market and least important in the Canadian market. To interpret this evidence the paper demonstrates that under weak conditions the unit root and cointegration structure of stock prices should mirror the unit root and cointegration structure of their dividend payments. The paper tests this prediction by constructing national dividend series from Capital International's dividend yield data. as well as by using GNP data. As with stock prices, the evidence points to a single common trend, although the stochastic properties and relative importance of this trend differs somewhat from the trend in stock prices.