2004, English, Article, Working paper edition: Financial integration [electronic resource] : a new methodology and an illustration / prepared by Robert P. Flood and Andrew K. Rose. Flood, Robert P.

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Financial integration : a new methodology and an illustration / prepared by Robert P. Flood and Andrew K. Rose
 
Bookmark: http://trove.nla.gov.au/version/208740932
Physical Description
  • 1 online resource (19 p.) : ill.
Published
  • [Washington, D.C.] : International Monetary Fund, Research Dept., 2004.
Language
  • English

Edition details

Title
  • Financial integration : a new methodology and an illustration /​ prepared by Robert P. Flood and Andrew K. Rose.
Also Titled
  • Ebrary Academic Complete International Subscription Collection.
Author
  • Flood, Robert P.
Other Authors
  • Rose, Andrew, 1959-
  • International Monetary Fund. Research Department
Published
  • [Washington, D.C.] : International Monetary Fund, Research Dept., 2004.
Medium
  • [electronic resource]
Content Types
  • text
Carrier Types
  • online resource
Physical Description
  • 1 online resource (19 p.) : ill.
Series
Subjects
Form
  • Bibliography
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
  • "June 2004."
  • Includes bibliographical references (p. 19)
  • Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010.
  • digitized 2010 HathiTrust Digital Library committed to preserve
Access Conditions
  • Use copy.
Other Form
  • Print version Flood, Robert P. Financial integration. [Washington D.C.] : International Monetary Fund, c2004
Technical Details
Language
  • English
ISBN
  • 1282051121
  • 9781282051126
Dewey Number
  • 332.6322
Libraries Australia ID
Contributed by
Libraries Australia

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