1.

Record Nr.

UNINA9910788521803321

Autore

Rose Andrew

Titolo

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

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.