6533b873fe1ef96bd12d44ac
RESEARCH PRODUCT
The effectiveness of several market integration measures when facing a market turmoil
Angel PardoAlejandro BalbásVicente Meneusubject
Market integrationMathematical modelsOperationalizationFinancial economicsYield (finance)Financial marketCorrelation analysisEffectivenessMarket microstructureMarket depthSecurities marketsMarket analysisEconomicsFutures contractEmpresadescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2003-01-01 |