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Limits to international arbitrage: an empirical evaluation

โœ Scribed by Hans Dewachter; Kristien Smedts

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
154 KB
Volume
12
Category
Article
ISSN
1076-9307

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โœฆ Synopsis

Abstract

This paper studies international financial integration by testing the law of one price across national borders. We use the distance between national discount factors as an integration measure and analyze the level of crossโ€border mispricing. The empirical analysis shows that pricing differentials are relatively large in economic terms. This lack of international financial integration is subsequently analyzed in the market microโ€finance literature. We find that market characteristics explain a considerable part of the variance in our crossโ€section of pricing differentials. Copyright ยฉ 2007 John Wiley & Sons, Ltd.

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