The implications of cointegration in financial markets: a comment
AbstractIn 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 4 (1997)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.