Kung, James; Carverhill, Andrew - In: Applied Economics 37 (2005) 6, pp. 695-703
One theoretical implication of cointegration, according to Granger (1986), is that asset prices in an efficient market cannot be cointegrated. Using price data on US Treasury STRIPS with maturities from 2/15/1997 to 8/15/2015, it is found that a set of three STRIPS series is often cointegrated....