Cointegration and market efficiency

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Efficient Capital Markets: II

1991 • 5,145 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Multiple time series

1970 • 1,885 citations

Efficient Capital Markets: II

1991 • 1,302 citations

Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period

1988 • 750 citations

Explosive Rational Bubbles in Stock Prices

1988 • 714 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Efficient Capital Markets and Martingales

1989 • 517 citations

Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets

1989 • 416 citations

Was it Real? The Exchange Rate-Interest Differential Relation Over the Modern Floating-Rate Period

1988 • 279 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 223 citations

Tests of exchange market efficiency: fragile evidence from cointegration tests

1991 • 174 citations

COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA

1991 • 123 citations

Foreign exchange market efficiency and cointegration

1989 • 117 citations

Cointegration and stock prices

1988 • 96 citations

Are National Stock Markets Linked?

1988 • 79 citations

The Interrelations of Finance and Economics: Theoretical Perspectives

1987 • 77 citations

Cointegration-based tests of daily foreign exchange market efficiency

1990 • 77 citations

Long-run dynamics of black and official exchange rates

1991 • 63 citations

The Stock Market: Bubbles, Volatility, and Chaos

1990 • 24 citations

Efficiency in the Forward Exchange Market: An Application of Cointegration

1988 • 7 citations