This paper re-examines the evidence for cointegration between international stock prices. It applies Johansen's maximum likelihood (ML) cointegration method and likelihood ratio (LR) tests for cointegration to stock prices. In monthly data it finds at most one cointegrating vector and in...

This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as...