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

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  • George H. K. Wang
  • Jot Yau

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  • George H. K. Wang & Jot Yau, 1994. "A time series approach to testing for market linkage: Unit root and cointegration tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(4), pages 457-474, June.
    • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:4:p:457-474
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    Cited by:

    1. Mercer, Jeffrey M., 1997. "An alternative specification for intraday simultaneity in spot and futures markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 667-682.
    2. Emmanouil Mavrakis & Christos Alexakis, 2018. "Statistical Arbitrage Strategies under Different Market Conditions: The Case of the Greek Banking Sector," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2), pages 159-185, August.
    3. João Frois Caldeira & Marcelo Savino Portugal, 2010. "Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(4), pages 469-504.
    4. Qingfeng “Wilson” Liu & Hui Sono & Wei Zhang, 2021. "The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 24(03), pages 1-28, September.

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