0000000000298107

AUTHOR

Alejandro Balbás

showing 2 related works from this author

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

2000

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 ...

Economics and EconometricsFinancial economicsFinancial marketFundamental theorem of asset pricingGeneral Business Management and AccountingFixed income arbitrageAccountingLaw of one priceArbitrage pricing theoryEconomicsRisk arbitrageArbitrageFinanceIndex arbitrageJournal of Futures Markets
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The effectiveness of several market integration measures when facing a market turmoil

2003

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.

Market integrationMathematical modelsOperationalizationFinancial economicsYield (finance)Financial marketCorrelation analysisEffectivenessMarket microstructureMarket depthSecurities marketsMarket analysisEconomicsFutures contractEmpresa
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