کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477552 | 930414 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Cointegration, market integration, and market efficiency
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Cointegration, market integration, and market efficiency Cointegration, market integration, and market efficiency](/preview/png/10477552.png)
چکیده انگلیسی
This paper uses a standard dynamic general equilibrium asset-pricing model to study the relationship among the concepts of efficient markets, integrated markets, and cointegrated prices. Within this setting we show that these concepts are independent of one another and any zero, one, two, or three of these characteristics can emerge in equilibrium, depending upon taste, endowment, and technology parameters. In particular, the results of tests of cointegration among asset prices have no implications about market efficiency or market integration without additional restrictions on the economy or economies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 24, Issue 6, October 2005, Pages 873-890
Journal: Journal of International Money and Finance - Volume 24, Issue 6, October 2005, Pages 873-890
نویسندگان
Sergio Lence, Barry Falk,