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

Journal of Futures Markets

Volumn 14, Issue 4, 1994, Pages 457-474

  Wang, George H K ^a   Yau, Jot ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84978579458     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.3990140407     Document Type: Article

References (22)

1. Nonsynchronous Security Trading and Market Index Autocorrelation
2. Distribution of the Estimators for Autoregressive Time Series with A Unit Root
3. The Hedging Performance of the New Futures Markets
4. Cointegration and Error Correction: Representation, Estimation and Testing
5. Some New Stock Market Indices
6. Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices
7. Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets
8. Nonynchronous Trading and the S&P 500 Stock‐Futures Basis in October 1987
9. The Theory of Hedging and Speculation in Commodity Futures
10. Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets
11. Critical Values for Cointegration Tests
12. Statistical Analysis of Price and Basis Behavior: October 12–26, 1987, S&P 500 Futures and Cash
13. Portfolio Serial Cor chronous Trading
14. The Simultaneous Determination Prices
15. Empirical Analysis of the Liquidity of the S&P 500 Index Futures Market During October 1987 Market Break