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Financial Integration : a New Methodology and an Illustration.
Annotation
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington :
International Monetary Fund,
June 2004.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Rose, Andrew K., |e author. | |
| 245 | 1 | 0 | |a Financial Integration : |b a New Methodology and an Illustration. |
| 260 | |a Washington : |b International Monetary Fund, |c June 2004. | ||
| 300 | |a 1 online resource (31 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 520 | 8 | |a Annotation |b 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. | |
| 505 | 0 | |a Contents -- I. DEFINING THE PROBLEM -- II. METHODOLOGY -- III. RELATIONSHIP TO THE LITERATURE -- IV. EMPIRICAL IMPLEMENTATION -- V. RESULTS -- VI. SENSITIVITY ANALYSIS -- VII. SUMMARY AND CONCLUSIONS -- References | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Stocks |x Prices |x Econometric models. | |
| 650 | 0 | |a Stocks |x Rate of return |x Econometric models. | |
| 650 | 6 | |a Actions (Titres de société) |x Prix |x Modèles économétriques. | |
| 650 | 6 | |a Actions (Titres de société) |x Taux de rendement |x Modèles économétriques. | |
| 700 | 1 | |a Flood, Robert P., |e author. | |
| 758 | |i has work: |a Financial Integration (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGMGvTM3hJG9VkdhD9rC73 |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3013887 |z Texto completo |
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