On the efectiveness of several market integration measures: an empirical analysis

Ángel Pardo, Alejandro Balbás and Vicente Meneu

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability ad market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.

Keywords: Market; integration; Measures; of; integration; Statistical; techniques; Principles; of; asset; valuation; Law; of; one; price; Arbitrage; IBEX-35; Future; contract (search for similar items in EconPapers)
Date: 1999-05
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:6516

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