The implications of cointegration in financial markets: a comment

James Steeley

Applied Economics Letters, 1997, vol. 4, issue 3, 141-143

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.

Date: 1997
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DOI: 10.1080/135048597355384

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