| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9880 |
| 来源ID | Working Paper 9880 |
| Financial Integration: A New Methodology and an Illustration | |
| Robert P. Flood; Andrew K. Rose | |
| 发表日期 | 2003-08-04 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and 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 are equal across (risk-adjusted) assets. Assets are allowed to have general risk characteristics, and are constrained only by a factor model of covariances over short time periods. The technique is undemanding in terms of both data and estimation. We find that expected risk-free rates vary dramatically over time, unlike short interest rates. Further, the S&P 500 market seems to be well integrated, and the NASDAQ is generally (but not always) integrated. However, the NASDAQ is poorly integrated with the S&P 500. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w9880 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567505 |
| 推荐引用方式 GB/T 7714 | Robert P. Flood,Andrew K. Rose. Financial Integration: A New Methodology and an Illustration. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9880.pdf（215KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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