文章基本信息

标题：TESTING MARKET EQUILIBRIUM: IS COINTEGRATION INFORMATIVE?
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作者：McNew, Kevin ; Fackler, Paul L.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1997
出版社：Food Distribution Research Society
摘要：Cointegration methods are increasingly used to test for market efficiency and integration. The economic rationale for these tests, however, is generally unclear. Using a simple spatial equilibrium model to simulate equilibrium price behavior, it is shown that prices in a well-integrated, efficient market need not be cointegrated. Furthermore, the number of cointegrating relationships among prices is not a good indicator of the degree to which a market is integrated.