𝔖 Bobbio Scriptorium
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Integration and arbitrage in the Spanish financial markets: An empirical approach*

✍ Scribed by Balb�s, Alejandro; Longarela, I�aki R.; Pardo, �ngel

Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
281 KB
Volume
20
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Several authors have introduced different ways to measure integration between financial markets. Most of them are derived from the basic assumptions about asset prices, like the Law of One Price or the absence of arbitrage opportunities. Two perfectly integrated markets must give identical prices to identical final payoffs, and a vector of positive discount factors, common to both markets, must exist. If these properties do not hold, the degree to which they are violated can be defined and considered as a measure of integration.

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