The Effectiveness of Several Market Integration Measures When Facing a Market Turmoil
38 Pages Posted: 28 Nov 2001
Date Written: December 27, 2001
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.
Keywords: market integration, statistical techniques, principles of asset valuation, arbitrage, IBEX-35, futures contract
JEL Classification: G12, G14
Suggested Citation: Suggested Citation