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Has Financial Market Integration Increased during the Nineties?

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  • Juan Ayuso
  • Roberto Blanco
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    Abstract

    This paper analyses whether there has been an increase in the degree of financial market integration during the nineties. To do this, we focus on stock markets and compute, first, a number of standard measures of co-movements that sometimes are interpreted as measures of financial integration. In the second part of the paper we compute two alternative measures of market integration based on a refinement of the approach suggested by Chen and Knez (1995).

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    File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/99/Fic/dt9923e.pdf
    File Function: First version, 1999
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    Bibliographic Info

    Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9923.

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    Length: 39 pages
    Date of creation: 1999
    Date of revision:
    Handle: RePEc:bde:wpaper:9923

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    Keywords: FINANCIAL MARKET ; ECONOMIC INTEGRATION;

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    1. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report, Federal Reserve Bank of Minneapolis 167, Federal Reserve Bank of Minneapolis.
    2. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    3. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, American Finance Association, vol. 38(3), pages 925-84, June.
    4. Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-36, May.
    5. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of Security Market Data for Models of Dynamic Economies," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0089, National Bureau of Economic Research, Inc.
    6. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    7. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
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    Cited by:
    1. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "International Capital Flows, Returns and World Financial Integration," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-17, Georgetown University, Department of Economics.
    2. vladimir Borgy & Valérie Mignon, 2006. "Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale," Working Papers 2006-25, CEPII research center.

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