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



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Autore: Rose Andrew Visualizza persona
Titolo: Financial Integration : : A New Methodology and An Illustration / / Andrew Rose, Robert Flood Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2004
Descrizione fisica: 1 online resource (20 p.)
Disciplina: 332.6322
Soggetto topico: 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
Soggetto geografico: United States
Altri autori: FloodRobert  
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.
Titolo autorizzato: Financial Integration  Visualizza cluster
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.: 9910788521803321
Lo trovi qui: Univ. Federico II
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Serie: IMF Working Papers; Working Paper ; ; No. 2004/110