LEADER 05706oam 22014774 450 001 9910809283203321 005 20240410162227.0 010 $a1-4623-4387-2 010 $a1-4527-2097-5 010 $a1-282-05112-1 010 $a9786613798572 010 $a1-4518-9890-8 035 $a(CKB)3360000000442335 035 $a(EBL)3013887 035 $a(SSID)ssj0001475777 035 $a(PQKBManifestationID)11902994 035 $a(PQKBTitleCode)TC0001475777 035 $a(PQKBWorkID)11503562 035 $a(PQKB)10582340 035 $a(MiAaPQ)EBC3013887 035 $a(MiAaPQ)EBC3012533 035 $a(IMF)WPIEE1102004 035 $a(EXLCZ)993360000000442335 100 $a20020129d2004 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aFinancial Integration : $eA New Methodology and An Illustration /$fAndrew Rose, Robert Flood 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2004. 215 $a1 online resource (20 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4518-5337-8 327 $a""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"" 330 3 $aThis paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor model of covariances over short time periods. We find that implied expected risk-free rates vary dramatically over time, unlike short interest rates. Further, internal integration in the S&P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2004/110 606 $aStocks -- Prices -- Econometric models 606 $aStocks -- Rate of return -- Econometric models 606 $aEconometrics$2imf 606 $aFinance: General$2imf 606 $aInvestments: Stocks$2imf 606 $aMacroeconomics$2imf 606 $aInformation and Market Efficiency$2imf 606 $aEvent Studies$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aClassification Methods$2imf 606 $aCluster Analysis$2imf 606 $aPrincipal Components$2imf 606 $aFactor Models$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aState Space Models$2imf 606 $aEconometrics & economic statistics$2imf 606 $aInvestment & securities$2imf 606 $aFinance$2imf 606 $aStocks$2imf 606 $aStock markets$2imf 606 $aFactor models$2imf 606 $aAsset prices$2imf 606 $aTime series analysis$2imf 606 $aFinancial institutions$2imf 606 $aFinancial markets$2imf 606 $aEconometric analysis$2imf 606 $aPrices$2imf 606 $aStock exchanges$2imf 606 $aEconometric models$2imf 607 $aUnited States$2imf 615 4$aStocks -- Prices -- Econometric models. 615 4$aStocks -- Rate of return -- Econometric models. 615 7$aEconometrics 615 7$aFinance: General 615 7$aInvestments: Stocks 615 7$aMacroeconomics 615 7$aInformation and Market Efficiency 615 7$aEvent Studies 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aClassification Methods 615 7$aCluster Analysis 615 7$aPrincipal Components 615 7$aFactor Models 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aState Space Models 615 7$aEconometrics & economic statistics 615 7$aInvestment & securities 615 7$aFinance 615 7$aStocks 615 7$aStock markets 615 7$aFactor models 615 7$aAsset prices 615 7$aTime series analysis 615 7$aFinancial institutions 615 7$aFinancial markets 615 7$aEconometric analysis 615 7$aPrices 615 7$aStock exchanges 615 7$aEconometric models 676 $a332.6322 700 $aRose$b Andrew$0123580 701 $aFlood$b Robert$0127224 801 0$bDcWaIMF 906 $aBOOK 912 $a9910809283203321 996 $aFinancial Integration$93969142 997 $aUNINA