The implications of cointegration in financial markets: A comment

被引：0
|
作者：
Steeley, JM
机构：
[1] Bank of England, London, EC2R 8AH, Threadneedle Street
来源：
APPLIED ECONOMICS LETTERS | 1997年 / 4卷 / 03期
关键词：
D O I：
10.1080/135048597355384
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：141 / 143
页数：3
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