Integration and Arbitrage in the Spanish Financial Markets: An Empirical Approach

The Journal of Futures Markets, Vol. 20, No. 4, pp. 321-344, 2000

Posted: 30 Aug 2007

See all articles by Alejandro Balbás

Alejandro Balbás

Universidad Carlos III de Madrid - Department of Business Administration

Iñaki Rodríguez-Longarela

Stockholm University - Stockholm Business School; UiT-The Arctic University of Norway - School of Business and Economics

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Abstract

Several authors have introduced different ways to measure integration between financial markets. Most of them are derived from the basic assumptions about asset prices, like the Law of One Price or the absence of arbitrage opportunities. Two perfectly integrated markets must give identical prices to identical final payoffs, and a vector of positive discount factors, common to both markets, must exist. If these properties do not hold, the degree to which they are violated can be defined and considered as a measure of integration.

Suggested Citation

Balbás de la Corte, Alejandro and Rodríguez Longarela, Iñaki and Pardo Tornero, Ángel, Integration and Arbitrage in the Spanish Financial Markets: An Empirical Approach. The Journal of Futures Markets, Vol. 20, No. 4, pp. 321-344, 2000. Available at SSRN: https://ssrn.com/abstract=1010581

Alejandro Balbás de la Corte

Universidad Carlos III de Madrid - Department of Business Administration ( email )

Calle Madrid 126
Getafe, Madrid, Madrid 28903
Spain

Iñaki Rodríguez Longarela (Contact Author)

Stockholm University - Stockholm Business School ( email )

Stockholm
Sweden

UiT-The Arctic University of Norway - School of Business and Economics ( email )

Tromsø, 9037
Norway

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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