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Financial Integration [electronic resource] : A New Methodology and An Illustration, Rose, Andrew K..

Author/Creator:
Rose, Andrew K.
Publication:
Washington, D.C. : International Monetary Fund, 2004.
Format/Description:
Government document
Book
1 online resource (20 p.)
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 04/110.
IMF Working Papers; Working Paper No. 04/110
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Local subjects:
Arbitrage pricing theory. (search)
Autocorrelation. (search)
Bootstrap. (search)
Confidence interval. (search)
Confidence intervals. (search)
Covariance. (search)
Covariances. (search)
Econometrics. (search)
Economic models. (search)
Equation. (search)
Equations. (search)
Event Studies. (search)
Expected returns. (search)
Financial assets. (search)
Free parameter. (search)
Information and Market Efficiency. (search)
Nasdaq. (search)
Perturbations. (search)
Prediction. (search)
Probability. (search)
Risk premium. (search)
Samples. (search)
Sensitivity analysis. (search)
Short interest. (search)
Standard error. (search)
Statistic. (search)
Statistical techniques. (search)
Statistics. (search)
Stock markets. (search)
Survey. (search)
Time series. (search)
Japan. (search)
Jersey. (search)
United States. (search)
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 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.
Notes:
Description based on print version record.
Contributor:
Flood, Robert P.
Rose, Andrew K.
Other format:
Print Version:
ISBN:
1451853378:
9781451853377
ISSN:
1018-5941
Publisher Number:
10.5089/9781451853377.001
Access Restriction:
Restricted for use by site license.