Financial integration: A new methodology and an illustration

Journal of the European Economic Association

Volumn 3, Issue 6, 2005, Pages 1349-1359

  Flood, Robert P ^a   Rose, Andrew K ^b  

^a INTERNATIONAL MONETARY FUND   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33947698620     PISSN: 15424766     EISSN: 15424774     Source Type: Journal    
DOI: 10.1162/JEEA.2005.3.6.1349     Document Type: Article

References (10)

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2. Bekaert, Geert, and Campbell R. Harvey (1995). "Time-Varying World Market Integration" Journal of Finance, 50(1), 403-444.
3. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay (1997). The Econometrics of Financial Markets. Princeton University Press.
4. Chabot, Benjamin (2000). "A Single Market? The Stock Exchanges of the United States and London: 1866-1885." Working paper, University of Michigan.
5. Chen, Zhiwu, and Peter J. Knez (1995). "Measurement of Market Integration and Arbitrage." Review of Financial Studies, 8(2), 287-325.
6. Cochrane, John H. (2001), Asset Pricing. Princeton University Press.
7. Fama, Eugene, and Kenneth R. French (1996). "Multifactor Explanations of Asset Pricing Anomalies." Journal of Finance, 51(1), 55-84.
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9. Karolyi, G. Andrew, and Rene M. Stulz (2002). "Are Financial Assets Priced Locally or Globally?" In Handbook of the Economics of Finance, edited by George M. Constantinides, Milton Harris and Rene Stulz. North Holland.
10. Roll, Richard, and Stephen A. Ross (1980). "An Empirical Investigation of the Arbitrage Pricing Theory." Journal of Finance, 35(5), 1073-1103.