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Original Articles

The implications of cointegration in financial markets: a comment

Pages 141-143 | Published online: 05 Oct 2010
 

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.

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