Financial Integration A New Methodology and an Illustration
| Author/creator | Rose, Andrew K. Author |
| Other author | Flood, Robert P. Author |
| Format | Electronic |
| Publication Info | Washington : International Monetary Fund |
| Description | 31 p. |
| Supplemental Content | Full text available from Ebook Central - Academic Complete |
| Summary | Annotation 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. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| ISBN | 9781451898903 |
| ISBN | 1451898908 (E-Book) Active Record |
| Stock number | 00013468 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |