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|c 5.00 USD
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|z 9781451853377
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Rose, Andrew.
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|a Financial Integration :
|b A New Methodology and An Illustration /
|c Andrew Rose, Robert Flood.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2004.
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|a 1 online resource (20 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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 and P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S and P, however, is always rejected dramatically.
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|a Mode of access: Internet
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|a Flood, Robert.
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|a IMF Working Papers; Working Paper ;
|v No. 2004/110
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2004/110/001.2004.issue-110-en.xml
|z IMF e-Library
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