Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset … sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and … two small) clusters. The analysis at a disaggregate, industry level again points to convergence in the middle of the …