TY - JOUR
T1 - The implications of cointegration in financial markets
T2 - a comment
AU - Steeley, James M.
PY - 1997/3
Y1 - 1997/3
N2 - 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.
AB - 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.
UR - http://www.tandfonline.com/toc/rael20/4/3#.VG82d8llvMc
U2 - 10.1080/135048597355384
DO - 10.1080/135048597355384
M3 - Article
SN - 1350-4851
VL - 4
SP - 141
EP - 143
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 3
ER -