FUTURES MARKET-EFFICIENCY - EVIDENCE FROM COINTEGRATION TESTS

被引：91

作者：

CHOWDHURY, AR

机构：

来源：

JOURNAL OF FUTURES MARKETS | 1991年 / 11卷 / 05期

关键词：

D O I：

10.1002/fut.3990110506

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

收藏

页码：577 / 589

页数：13

相关论文

共 43 条

[1] BAILLIE R, 1987, UNIT ROOTS COINTEGRA
[2] FUTURES MARKET-EFFICIENCY AND THE TIME CONTENT OF THE INFORMATION SETS
BIGMAN, D
GOLDFARB, D
SCHECHTMAN, E
[J]. JOURNAL OF FUTURES MARKETS, 1983, 3 (03) : 321 - 334
[3] Burns J. M., 1983, FUTURES MARKETS, P46
[4] THE EFFICIENCY OF THE LONDON METAL EXCHANGE - A TEST WITH OVERLAPPING AND NONOVERLAPPING DATA
CANARELLA, G
POLLARD, SK
[J]. JOURNAL OF BANKING & FINANCE, 1986, 10 (04) : 575 - 593
[5] TEMPORAL PRICE BEHAVIOR IN COMMODITY FUTURES MARKETS
CARGILL, TF
RAUSSER, GC
[J]. JOURNAL OF FINANCE, 1975, 30 (04) : 1043 - 1053
[6] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT
DICKEY, DA
FULLER, WA
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) : 427 - 431
[7] EXAMINING THE VALIDITY OF A TEST OF FUTURES MARKET-EFFICIENCY
ELAM, E
DIXON, BL
[J]. JOURNAL OF FUTURES MARKETS, 1988, 8 (03) : 365 - 372
[8] FORECASTING AND TESTING IN CO-INTEGRATED SYSTEMS
ENGLE, RF
YOO, BS
[J]. JOURNAL OF ECONOMETRICS, 1987, 35 (01) : 143 - 159
[9] COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING
ENGLE, RF
GRANGER, CWJ
[J]. ECONOMETRICA, 1987, 55 (02) : 251 - 276
[10] EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK
FAMA, EF
[J]. JOURNAL OF FINANCE, 1970, 25 (02) : 383 - 423

← 1 2 3 4 5 →