Brenner and Kroner (1995) laid out the necessary conditions for futures market efficiency when the asset price data are characterized by stochastic trends. Specifically, a no arbitrage profit condition implies that spot, futures and cost-of-carry will be cointegrated, unless the cost-of-carry is...

This article examines the composition of style-diversified portfolios and the influence of institutional trading on style performance over the period 1979 to 2004. We employ a methodology to identify possible cointegrating relationships among four equity styles and to determine styles necessary...

This study re-examines the univariate property of stock market price indices in ten emerging markets which are evidenced by prior empirical work, specifically by Chaudhuri and Wu (2003), to be I(0) or stationary. Important findings from variants of standard Dickey and Fuller (1979, 1981) and...