Bakhouche, Abderazak - In: Journal of finance and investment analysis 2 (2013) 1, pp. 101-120
This paper applies the Johansen Cointegration procedure to test the law of one price (LOOP) for twelve international … arrangement. Price index for each market is estimated using the repeat sales method. The order of integration of each price series … was determined using the augmented Dickey-Fuller and the DF-GLS tests. The results show that only five price index series …