The Cointegration of Auction Price Series

Abstract

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

Citation

Taylor, W.M. (1995), "The Cointegration of Auction Price Series", Managerial Finance, Vol. 21 No. 6, pp. 35-46. https://doi.org/10.1108/eb018523