Financial Integration : : A New Methodology and An Illustration / / Andrew Rose, Robert Flood
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| Autore: |
Rose Andrew
|
| Titolo: |
Financial Integration : : A New Methodology and An Illustration / / Andrew Rose, Robert Flood
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2004 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (20 p.) |
| Disciplina: | 332.6322 |
| Soggetto topico: | Stocks - Rate of return - Econometric models |
| Stocks - Prices - Econometric models | |
| Asset prices | |
| Classification Methods | |
| Cluster Analysis | |
| Deflation | |
| Diffusion Processes | |
| Dynamic Quantile Regressions | |
| Dynamic Treatment Effect Models | |
| Econometric analysis | |
| Econometric models | |
| Econometrics & economic statistics | |
| Econometrics | |
| Event Studies | |
| Factor Models | |
| Factor models | |
| Finance | |
| Finance: General | |
| Financial institutions | |
| Financial Instruments | |
| Financial markets | |
| General Financial Markets: General (includes Measurement and Data) | |
| Inflation | |
| Information and Market Efficiency | |
| Institutional Investors | |
| Investment & securities | |
| Investments: Stocks | |
| Macroeconomics | |
| Non-bank Financial Institutions | |
| Pension Funds | |
| Price Level | |
| Prices | |
| Principal Components | |
| State Space Models | |
| Stock exchanges | |
| Stock markets | |
| Stocks | |
| Time series analysis | |
| Time-Series Models | |
| Soggetto geografico: | United States |
| Altri autori: |
FloodRobert
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references. |
| 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. |
| Titolo autorizzato: | Financial Integration |
| ISBN: | 1-4623-4387-2 |
| 1-4527-2097-5 | |
| 1-282-05112-1 | |
| 9786613798572 | |
| 1-4518-9890-8 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910809283203321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2004/110