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Financial integration : a new methodology and an illustration

Author: Robert P Flood; Andrew Rose; International Monetary Fund. Research Department.
Publisher: [Washington, D.C.] : International Monetary Fund, Research Dept., 2004.
Series: IMF working paper, WP/04/110.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Flood, Robert P.
Financial integration.
[Washington D.C.] : International Monetary Fund, ©2004
(OCoLC)56411455
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Robert P Flood; Andrew Rose; International Monetary Fund. Research Department.
ISBN: 1282051121 9781282051126
OCLC Number: 535146930
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (19 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/04/110.
Responsibility: prepared by Robert P. Flood and Andrew K. Rose.

Abstract:

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.

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