✦ LIBER ✦

A cointegration test for market efficiency

✍ Scribed by Kon S. Lai; Michael Lai

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 591 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110505

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A cointegration test for oil futures mar

A cointegration test for oil futures market efficiency

✍ William J. Crowder; Anas Hamed 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 591 KB

The authors would like to thank Hank Bessembinder, Dan Himarios, Dennis Hoffman, Mike Melvin, and two anonymous referees for the helpful comments. Any remaining errors must be attributed, solely, to the authors.

Futures market efficiency: Evidence from

Futures market efficiency: Evidence from cointegration tests

✍ Abdur R. Chowdhury 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 934 KB

The author would like to thank the Editor of The Journal of Futures Markets and two anonymous referees for numerous suggestions on a previous draft of this paper. All remaining errors, however, are the author's responsibility. Financial assistance, provided through a Summer Grant from the Miles Fund

Market efficiency of US grain markets: A

Market efficiency of US grain markets: Application of cointegration tests

✍ Jian Yang; David J. Leatham 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 75 KB

This study examines the market efficiency hypothesis of US major grain markets. Cointegration among grain spot prices is argued to violate the weak form of the efficient market hypothesis (EMH). Bivariate and multivariate Johansen cointegration analyses are conducted and prove no presence of cointeg

Regime switching and cointegration tests

Regime switching and cointegration tests of the efficiency of futures markets

✍ Chow, Ying-Foon 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 542 KB

Many researchers have found that spot and futures prices are not cointegrated in some commodity markets, or they are cointegrated but not with a cointegrating vector (1, ‫.)1מ‬ One interpretation is that disturbances to excess returns have a unit root persistence, which implies that spot and futures

A time series approach to testing for ma

A time series approach to testing for market linkage: Unit root and cointegration tests

✍ George H. K. Wang; Jot Yau 📂 Article 📅 1994 🏛 John Wiley and Sons 🌐 English ⚖ 920 KB

The authors are grateful to Mark J. Powers, the editor, and two anonymous referees for their helpful comments and suggestions. Valuable comments on earlier versions from Thomas Schwarz and Fumi Quong are also greatly appreciated. The views stated in this article are those of the authors and do not n

A new poolability test for cointegrated

A new poolability test for cointegrated panels

✍ Professor Joakim Westerlund; Wolfgang Hess 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 294 KB

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small sa