Timeline for Does cointegration contradict the market efficiency?
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
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| Sep 11, 2016 at 1:57 | comment | added | Chan-Ho Suh | @Michal it sounds to me like they are using that cointegration is a necessary condition for market efficiency, which is what Richard stated. | |
| Sep 10, 2016 at 14:45 | comment | added | Richard Hardy | What is the logic behind it? If you make their argument clear, we can try to justify or reject it. | |
| Sep 10, 2016 at 14:34 | comment | added | Michal | It is at odds to some research papers where cointegration is used to reject market efficiency, for example link.springer.com/article/10.1007/BF02929019 "Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets", in the abstract there is a claim: "The results suggest that there is at least one unit root among the black market exchange rates. Hence, black exchange markets are not collectively efficient." | |
| Sep 10, 2016 at 11:31 | comment | added | Richard Hardy | The basic logic is the same. If the asset prices are driven by a common trend, it is only natural that they move in parallell to the extent the common trend is affecting each of them. | |
| Sep 10, 2016 at 11:28 | comment | added | Michal | That would be a special case. How about the cointegration between two different assets? | |
| Sep 10, 2016 at 9:03 | history | answered | Richard Hardy | CC BY-SA 3.0 |