Johan Knif, Seppo Pynnönen, and Martti Luoma (1995). Common autocorrelation features of index returns from two Scandinavian stock markets. In Proceedings of the 17th meeting of the Western Decision Sciences, San Francisco April 1995.
This paper empirically investigates, in the spirit of [1] and [3], 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 time period covered starts in January 1920 and ends in December 1993 and consists of monthly index quotations and is analyzed as a complete series as well as split in four structurally different periods. Both of the return series seem to have an autocorrelation component present both before and after the second world war and this feature is more pronounced in the Helsinki return series. The strongest common autocorrelation feature is found in the period after the oil-crises. Nevertheless, the feature does not seem to be common over all the sub-periods considered. The common codependence in the last sub-period can be interpreted as a sign of increasing integration between the markets.
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