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On the efectiveness of several market integration measures: an empirical analysis

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  • Pardo, Ángel
  • Balbás, Alejandro
  • Meneu, Vicente

Abstract

Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability ad 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.

Suggested Citation

  • Pardo, Ángel & Balbás, Alejandro & Meneu, Vicente, 1999. "On the efectiveness of several market integration measures: an empirical analysis," DEE - Working Papers. Business Economics. WB 6516, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:wbrepe:6516
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    Keywords

    Market integration;

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