The Cointegration of Auction Price Series

Managerial Finance - Tập 21 Số 6 - Trang 35-46 - 1995
William M.Taylor1
1School of Business, Rutgers University, New Brunswick, New Jersey 08903

Tóm tắt

It is found that one unit root, common trend is shared by the quarterly auction price series of five frequently auctioned types of stamps. The common trends analysis provides specific, stationary linear combinations, or cointegrating portfolios, of the auction price levels. The quarterly returns for the system of cointegrated auction prices can be represented by an error correction model using past returns and cointegrating vectors. There is evidence of a positive relationship between changes in the common trend and leading changes in industrial production

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Thông tin
Thông tin xuất bản

Managerial Finance

Tập 21 Số 6

35-46

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