The authors argue that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage. Applying to equity markets recent methodological developments in the purchasing power parity literature, they show that nonlinear Threshold Autoregressive (TAR)...
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详细
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2006/04/19
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政策研究报告
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WPS3897
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1
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1
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2010/07/01
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Disclosed
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International financial integration through the law of one price
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law of one price