The implications of cointegration in financial markets: a comment

James M. Steeley

doi:10.1080/135048597355384

The implications of cointegration in financial markets: a comment

James M. Steeley

Accounting and Finance

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	141-143
Journal	Applied Economics Letters
Volume	4
Issue number	3
DOIs	https://doi.org/10.1080/135048597355384
Publication status	Published - Mar 1997

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The implications of cointegration in financial markets: a comment

Abstract

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