The Effectiveness of Several Market Integration Measures When Facing a Market Turmoil

38 Pages Posted: 28 Nov 2001

See all articles by Alejandro Balbás

Alejandro Balbás

Universidad Carlos III de Madrid - Department of Business Administration

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Vicente Meneu

University of Valencia - Department of Financial Economics

Date Written: December 27, 2001

Abstract

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

Balbás de la Corte, Alejandro and Pardo Tornero, Ángel and Meneu Ferrer, Vicente, The Effectiveness of Several Market Integration Measures When Facing a Market Turmoil (December 27, 2001). Available at SSRN: https://ssrn.com/abstract=291961 or http://dx.doi.org/10.2139/ssrn.291961

Alejandro Balbás de la Corte

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

Calle Madrid 126
Getafe, Madrid, Madrid 28903
Spain

Ángel Pardo Tornero (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

Vicente Meneu Ferrer

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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