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Arbitrage and the Law of One Price in the market for American depository receipts

✍ Scribed by Hamad Alsayed; Frank McGroarty

Book ID
119262786
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
643 KB
Volume
22
Category
Article
ISSN
1042-4431

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## Abstract Recent studies of spatial market integration have adopted error correction models to test for its existence and for market dominance. An integrated empirical framework is proposed here which tests for long‐run spatial market integration between price pairs using a dynamic vector autoreg