06009oam 22015854 450 991096125330332120250426110515.0978661379857297814623438741462343872978145272097514527209759781282051126128205112197814518989031451898908(CKB)3360000000442335(EBL)3013887(SSID)ssj0001475777(PQKBManifestationID)11902994(PQKBTitleCode)TC0001475777(PQKBWorkID)11503562(PQKB)10582340(MiAaPQ)EBC3013887(MiAaPQ)EBC3012533(IMF)WPIEE1102004(IMF)WPIEA1102004WPIEA1102004(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.9781451853377 1451853378 Includes bibliographical references.""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. 2004/110StocksRate of returnEconometric modelsStocksPricesEconometric modelsAsset pricesimfClassification MethodsimfCluster AnalysisimfDeflationimfDiffusion ProcessesimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEconometric analysisimfEconometric modelsimfEconometrics & economic statisticsimfEconometricsimfEvent StudiesimfFactor ModelsimfFactor modelsimfFinanceimfFinance: GeneralimfFinancial institutionsimfFinancial InstrumentsimfFinancial marketsimfGeneral Financial Markets: General (includes Measurement and Data)imfInflationimfInformation and Market EfficiencyimfInstitutional InvestorsimfInvestment & securitiesimfInvestments: StocksimfMacroeconomicsimfNon-bank Financial InstitutionsimfPension FundsimfPrice LevelimfPricesimfPrincipal ComponentsimfState Space ModelsimfStock exchangesimfStock marketsimfStocksimfTime series analysisimfTime-Series ModelsimfUnited StatesimfStocksRate of returnEconometric models.StocksPricesEconometric models.Asset pricesClassification MethodsCluster AnalysisDeflationDiffusion ProcessesDynamic Quantile RegressionsDynamic Treatment Effect ModelsEconometric analysisEconometric modelsEconometrics & economic statisticsEconometricsEvent StudiesFactor ModelsFactor modelsFinanceFinance: GeneralFinancial institutionsFinancial InstrumentsFinancial marketsGeneral Financial Markets: General (includes Measurement and Data)InflationInformation and Market EfficiencyInstitutional InvestorsInvestment & securitiesInvestments: StocksMacroeconomicsNon-bank Financial InstitutionsPension FundsPrice LevelPricesPrincipal ComponentsState Space ModelsStock exchangesStock marketsStocksTime series analysisTime-Series Models332.6322Rose Andrew123580Flood Robert127224International Monetary Fund.Research Department,DcWaIMFBOOK9910961253303321Financial Integration4371067UNINA