Electronic Resource
550 Swanston Street (PO Box 378) Carlton South, Victoria 3053 Australia
:
Blackwell Publishing Asia Pty Ltd
Pacific economic review
10 (2005), S. 0
ISSN:
1468-0106
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Abstract. This paper develops a new methodology to test financial market integration. Our technique is based on an intertemporal asset-pricing model, and relies on estimating and comparing expected discount rates across asset markets. Expected discount rates are allowed to vary freely over time, constrained only by the fact that they are equal across assets. Assets are allowed to have very general risk characteristics, and are constrained only by a linear factor model of covariances with the discount rate over short time periods. We provide a variety of domestic and international empirical illustrations of our technique, and find surprisingly little evidence of integration.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1468-0106.2005.00258.x
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