The Econometrics of the 'Market Model': Cointegration, Error Correction and Exogeneity

Terence C Mills

International Journal of Finance & Economics, 1996, vol. 1, issue 4, 275-86

Abstract: This paper investigates the market model from the perspective of modern time series econometrics, focusing upon the assumptions and restrictions that are made in order to arrive at the returns regression that is the market model. The fact that stock prices and indices are typically non-stationary leads naturally to the topic of cointegration, and the implications of this for the market model are developed. Exogeneity within cointegrated systems is considered, whilst testing, estimation and inferential issues are also discussed. Three examples are provided to illustrate the proposed methodology for modelling the relationship between a stock price and a market index. Copyright @ 1996 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1996
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:1:y:1996:i:4:p:275-86

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().