کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069912 | 1373216 | 2006 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the robustness of cointegration tests when assessing 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
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چکیده انگلیسی
The finding that spot and lagged forward exchange rates are cointegrated with the vector (1,â1) is often given as evidence for long-run market efficiency. This paper examines the conjecture that a small unit root or fractionally integrated component in the relationship is dominated in finite samples by a large stationary component. Monte Carlo techniques demonstrate that with typical sample sizes and variable magnitudes, the Engle-Granger test overwhelmingly finds spurious cointegration. Conversely, under certain conditions, Johansen tests are shown to be relatively robust to differences in variable magnitudes. Although developed from recent empirical work in the forward currency market this result clearly has relevance for the use of predictive regressions in any asset market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 3, Issue 1, March 2006, Pages 57-64
Journal: Finance Research Letters - Volume 3, Issue 1, March 2006, Pages 57-64
نویسندگان
Neil Kellard,