Financial Integration : : A New Methodology and An Illustration / / Andrew Rose, Robert Flood

• Record Nr.: UNINA9910788521803321
• Autore: Rose Andrew
• Pubbl/distr/stampa: Washington, D.C. : , : International Monetary Fund, , 2004
• ISBN: 1-4623-4387-2; 1-4527-2097-5; 1-282-05112-1; 9786613798572; 1-4518-9890-8
• Descrizione fisica: 1 online resource (20 p.)
• Collana: IMF Working Papers
• Altri autori (Persone): FloodRobert
• Disciplina: 332.6322
• Soggetti: Stocks -- Prices -- Econometric models; Stocks -- Rate of return -- Econometric models; Econometrics; Finance: General; Investments: Stocks; Macroeconomics; Information and Market Efficiency; Event Studies; Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; General Financial Markets: General (includes Measurement and Data); Classification Methods; Cluster Analysis; Principal Components; Factor Models; Price Level; Inflation; Deflation; Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models; Econometrics & economic statistics; Investment & securities; Finance; Stocks; Stock markets; Factor models; Asset prices; Time series analysis; Financial institutions; Financial markets; Econometric analysis; Prices; Stock exchanges; Econometric models; United States
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di contenuto: ""Contents""; ""I. DEFINING THE PROBLEM""; ""II. METHODOLOGY""; ""III. RELATIONSHIP TO THE LITERATURE""; ""IV. EMPIRICAL IMPLEMENTATION""; ""V. RESULTS""; ""VI. SENSITIVITY ANALYSIS""; ""VII. SUMMARY AND CONCLUSIONS""; ""References""
• Sommario/riassunto: This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor model of covariances over short time periods. We find that implied expected risk-free rates vary dramatically over time, unlike short interest rates. Further, internal integration in the S&P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically.