0000000000298107
AUTHOR
Alejandro Balbás
Integration and arbitrage in the Spanish financial markets: An empirical approach*
Several authors have introduced different ways to measure integra-tion between financial markets. Most of them are derived from thebasic assumptions about asset prices, like the Law of One Price or ...
The effectiveness of several market integration measures when facing a market turmoil
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.