05706oam 22014774 450 991080928320332120240410162227.01-4623-4387-21-4527-2097-51-282-05112-197866137985721-4518-9890-8(CKB)3360000000442335(EBL)3013887(SSID)ssj0001475777(PQKBManifestationID)11902994(PQKBTitleCode)TC0001475777(PQKBWorkID)11503562(PQKB)10582340(MiAaPQ)EBC3013887(MiAaPQ)EBC3012533(IMF)WPIEE1102004(EXLCZ)99336000000044233520020129d2004 uf 0engur|n|---|||||txtccrFinancial Integration : A New Methodology and An Illustration /Andrew Rose, Robert Flood1st ed.Washington, D.C. :International Monetary Fund,2004.1 online resource (20 p.)IMF Working PapersDescription based upon print version of record.1-4518-5337-8 ""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""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.IMF Working Papers; Working Paper ;No. 2004/110Stocks -- Prices -- Econometric modelsStocks -- Rate of return -- Econometric modelsEconometricsimfFinance: GeneralimfInvestments: StocksimfMacroeconomicsimfInformation and Market EfficiencyimfEvent StudiesimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfGeneral Financial Markets: General (includes Measurement and Data)imfClassification MethodsimfCluster AnalysisimfPrincipal ComponentsimfFactor ModelsimfPrice LevelimfInflationimfDeflationimfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfState Space ModelsimfEconometrics & economic statisticsimfInvestment & securitiesimfFinanceimfStocksimfStock marketsimfFactor modelsimfAsset pricesimfTime series analysisimfFinancial institutionsimfFinancial marketsimfEconometric analysisimfPricesimfStock exchangesimfEconometric modelsimfUnited StatesimfStocks -- Prices -- Econometric models.Stocks -- Rate of return -- Econometric models.EconometricsFinance: GeneralInvestments: StocksMacroeconomicsInformation and Market EfficiencyEvent StudiesPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsGeneral Financial Markets: General (includes Measurement and Data)Classification MethodsCluster AnalysisPrincipal ComponentsFactor ModelsPrice LevelInflationDeflationTime-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesState Space ModelsEconometrics & economic statisticsInvestment & securitiesFinanceStocksStock marketsFactor modelsAsset pricesTime series analysisFinancial institutionsFinancial marketsEconometric analysisPricesStock exchangesEconometric models332.6322Rose Andrew123580Flood Robert127224DcWaIMFBOOK9910809283203321Financial Integration3969142UNINA