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Citations for "Measurement of Market Integration and Arbitrage"

by Chen, Zhiwu & Knez, Peter J

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  1. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 2941-2971, August.
  2. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2004. "Firm-Specific Variation and Openness in Emerging Markets," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 658-669, August.
  3. Joel Houston & Jennifer Itzkowitz & Andy Naranjo, 2012. "Corporate Borrower Nationality and Global Presence: Cross-Country Evidence on the Pricing of Syndicated Bank Loans," Chapters, in: Research Handbook on International Banking and Governance, chapter 5 Edward Elgar Publishing.
  4. Bakshi, Gurdip & Chen, Zhiwu & Hjalmarsson, Erik, 2005. "Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures," Working Papers in Economics 159, University of Gothenburg, Department of Economics.
  5. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
  6. Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-193, July.
  7. Hans Dewachter & Kristien Smedts, 2007. "Limits to international arbitrage: an empirical evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 273-285.
  8. Robert P. Flood & Andrew K. Rose, 2005. "Financial Integration: A New Methodology And An Illustration," Journal of the European Economic Association, MIT Press, vol. 3(6), pages 1349-1359, December.
  9. Juan Ayuso & Roberto Blanco, 1999. "Has Financial Market Integration Increased during the Nineties?," Working Papers 9923, Banco de España;Working Papers Homepage.
  10. Alejandro Balbás & MªJosé Muñoz, 1998. "Measuring the degree of fulfillment of the law of one price. Applications to financial market integration," Investigaciones Economicas, Fundación SEPI, vol. 22(2), pages 153-177, May.
  11. Bekaert, Geert & Liu, Jun, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management qt9m7392rq, Anderson Graduate School of Management, UCLA.
  12. Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 341-362, September.
  13. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
  14. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-linear Factor Approach," Discussion Papers of DIW Berlin 932, DIW Berlin, German Institute for Economic Research.
  15. Lingfeng Li, 2003. "An Economic Measure of Diversification Benefits," Yale School of Management Working Papers ysm371, Yale School of Management, revised 01 Jul 2003.
  16. Peresetsky, A. & Turmuhambetova, G. & Urga, G., 2001. "The development of the GKO futures market in Russia," Emerging Markets Review, Elsevier, vol. 2(1), pages 1-16, March.
  17. Muñoz-Bouzo, María José & Balbás, Alejandro, 1997. "Stochastic measures of financial markets efficiency and integration," DEE - Working Papers. Business Economics. WB 7018, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  18. Jappelli, Tullio & Pagano, Marco, 2008. "Financial market integration under EMU," CFS Working Paper Series 2008/33, Center for Financial Studies (CFS).
  19. Muñoz-Bouzo, María José & Balbás, Alejandro, 1996. "Measuring the degree of fulfillment of the law of one price. Applications to financial markets integration," UC3M Working papers. Economics 7213, Universidad Carlos III de Madrid. Departamento de Economía.
  20. Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-24, February.
  21. Krauss, Christopher & Herrmann, Klaus & Teis, Stefan, 2015. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts," FAU Discussion Papers in Economics 11/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  22. Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006. "Pairs Trading: Performance of a Relative-Value Arbitrage Rule," Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 797-827.
  23. Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS.
  24. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
  25. Dell'Ariccia, Giovanni & Marquez, Robert, 2006. "Competition among regulators and credit market integration," Journal of Financial Economics, Elsevier, vol. 79(2), pages 401-430, February.
  26. Heinemann, Friedrich & Schüler, Martin, 2002. "How integrated are the European retail financial markets? A cointegration analysis," ZEW Discussion Papers 02-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  27. Rohit Rahi & Jean-Pierre Zigrand, 2008. "Arbitrage networks," LSE Research Online Documents on Economics 4787, London School of Economics and Political Science, LSE Library.
  28. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "Global Yield Curves and Sovereign Bond Market Integration," Economic Growth Centre Working Paper Series 0902, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  29. Jochem, Axel & Herrmann, Sabine, 2003. "The international integration of money markets in the central and east European accession countries: deviations from covered interest parity, capital controls and inefficiencies in the financial secto," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank, Research Centre.
  30. López, Susana & Balbás, Alejandro, 2000. "Envelopes for the term structure of interest rates," DEE - Working Papers. Business Economics. WB 9966, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  31. Guglielmo Caporale & Burcu Erdogan & Vladimir Kuzin, 2015. "Testing stock market convergence: a non-linear factor approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 481-498, August.
  32. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July.
  33. P N Smith & S Sorensen & M R Wickens, "undated". "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York.
  34. Balbás, Alejandro & Okhrati, Ramin & Garrido, José, 2016. "Good deal measurement in asset pricing: Actuarial and financial implications," INDEM - Working Paper Business Economic Series 23546, Instituto para el Desarrollo Empresarial (INDEM).
  35. Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS.
  36. Kim, Suk-Joong & Lucey, Brian M. & Wu, Eliza, 2006. "Dynamics of bond market integration between established and accession European Union countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 41-56, February.
  37. Pardo, Ángel & Longarela, Iñaki R. & Balbás, Alejandro, 1997. "Integration and arbitrage in the spanish financial markets: an empirical approach," DEE - Working Papers. Business Economics. WB 7017, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  38. Rohit Rahi & Jean-Pierre Zigrand, 2007. "A theory of strategic intermediation and endogenous liquidity," LSE Research Online Documents on Economics 4764, London School of Economics and Political Science, LSE Library.
  39. Kasa, Kenneth, 1997. "Consumption-based versus production-based models of international equity markets," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 653-680, September.
  40. Peng, Yao & Balbas de la Corte, Alejandro, 2015. "Sequential arbitrage measurement in bond markets : theory and empirical applications in the Euro-zone," INDEM - Working Paper Business Economic Series id-15-01, Instituto para el Desarrollo Empresarial (INDEM).
  41. Alejandro Balbás & María Muñoz-Bouzo, 2002. "Stochastic measures of arbitrage," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 10(2), pages 289-324, December.
  42. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank, Research Centre.
  43. Rohit Rahi & Jean-Pierre Zigrand, 2013. "Market quality and contagion in fragmented markets," LSE Research Online Documents on Economics 60971, London School of Economics and Political Science, LSE Library.
  44. Zigrand, Jean-Pierre, 2006. "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, vol. 42(3), pages 301-314, June.
  45. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Endogenous liquidity and contagion," LSE Research Online Documents on Economics 29300, London School of Economics and Political Science, LSE Library.
  46. George Tzagkarakis & Juliana Caicedo-Llano & Thomas Dionysopoulos, 2016. "Time-Frequency Adapted Market Integration Measure Based on Hough Transformed Multiscale Decompositions," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 1-27, June.
  47. Rose, Andrew-K, 2004. "Equity Integration in Japan: An Application of a New Method," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 1-17, May.
  48. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.
  49. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  50. Naranjo, Andy & Protopapadakis, Aris, 1997. "Financial market integration tests: an investigation using US equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 93-135, July.
  51. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
  52. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  53. Burcu Erdogan, 2009. "How Does European Integration Affect the European Stock Markets?," Working Paper / FINESS 1.1a, DIW Berlin, German Institute for Economic Research.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.