The implications of cointegration in financial markets: a comment

James M. Steeley

Research output: Contribution to journalArticle

Abstract

In this short paper, I show that the characterization of the efficient securities market in Wang (1995) is inconsistent with financial economic theory, and offer a theoretically consistent alternative. By contrast, under this alternative definition of an efficient market, the component securities cannot be cointegrated.
Original languageEnglish
Pages (from-to)141-143
JournalApplied Economics Letters
Volume4
Issue number3
DOIs
Publication statusPublished - Mar 1997

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