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Measuring the degree of fulfillment of the law of one price. Applications to financial market integration

  • Alejandro Balbás

    (Universidad Carlos III de Madrid)

  • MªJosé Muñoz

    (Universidad Carlos III de Madrid)

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    No abstract is available for this item.

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    File URL: ftp://ftp.fundacionsepi.es/InvEcon/paperArchive/May1998/v22i2a1.pdf
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    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 22 (1998)
    Issue (Month): 2 (May)
    Pages: 153-177

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    Handle: RePEc:iec:inveco:v:22:y:1998:i:2:p:153-177
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    1. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
    2. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    3. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
    4. Prisman, Eliezer Z, 1986. " Valuation of Risky Assets in Arbitrage Free Economies with Frictions," Journal of Finance, American Finance Association, vol. 41(3), pages 545-57, July.
    5. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    6. repec:fth:inseep:9513 is not listed on IDEAS
    7. Kamara, Avraham & Miller, Thomas W., 1995. "Daily and Intradaily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 519-539, December.
    8. Kallal, Hedi & Jouini, Elyès, 1995. "Martingales and arbitrage in securities markets with transaction costs," Economics Papers from University Paris Dauphine 123456789/5630, Paris Dauphine University.
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