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- WOS: WOS:A1995RD61400003
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Article: Measurement of Market Integration and Arbitrage
Title | Measurement of Market Integration and Arbitrage |
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Authors | |
Issue Date | 1995 |
Publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ |
Citation | The Review of Financial Studies, 1995, v. 8 n. 2, p. 287-325 How to Cite? |
Abstract | We develop a measurement theory of market integration, based on two notions of “integrated markets”. First, two markets cannot be perfectly integrated in any sense if one can construct two portfolios, one from each market, that have identical payoffs but different prices. In that case, the law of one price is violated across the markets. Second, they cannot be integrated in a stronger sense if there are cross-market arbitrage opportunities. Two measures of market integration are developed, respectively reflecting these notions. The smaller the measures, the more closely integrated (in the respective senses) the markets. Among other things, they are interpreted as measuring pricing discrepancy between markets. |
Persistent Identifier | http://hdl.handle.net/10722/222291 |
ISSN | 2021 Impact Factor: 8.414 2020 SCImago Journal Rankings: 12.800 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Chen, Z | - |
dc.contributor.author | Knez, PJ | - |
dc.date.accessioned | 2016-01-11T08:03:07Z | - |
dc.date.available | 2016-01-11T08:03:07Z | - |
dc.date.issued | 1995 | - |
dc.identifier.citation | The Review of Financial Studies, 1995, v. 8 n. 2, p. 287-325 | - |
dc.identifier.issn | 0893-9454 | - |
dc.identifier.uri | http://hdl.handle.net/10722/222291 | - |
dc.description.abstract | We develop a measurement theory of market integration, based on two notions of “integrated markets”. First, two markets cannot be perfectly integrated in any sense if one can construct two portfolios, one from each market, that have identical payoffs but different prices. In that case, the law of one price is violated across the markets. Second, they cannot be integrated in a stronger sense if there are cross-market arbitrage opportunities. Two measures of market integration are developed, respectively reflecting these notions. The smaller the measures, the more closely integrated (in the respective senses) the markets. Among other things, they are interpreted as measuring pricing discrepancy between markets. | - |
dc.language | eng | - |
dc.publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ | - |
dc.relation.ispartof | The Review of Financial Studies | - |
dc.rights | Pre-print: Journal Title] ©: [year] [owner as specified on the article] Published by Oxford University Press [on behalf of xxxxxx]. All rights reserved. Pre-print (Once an article is published, preprint notice should be amended to): This is an electronic version of an article published in [include the complete citation information for the final version of the Article as published in the print edition of the Journal.] Post-print: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here]. | - |
dc.title | Measurement of Market Integration and Arbitrage | - |
dc.type | Article | - |
dc.identifier.email | Chen, Z: zchen99@hku.hk | - |
dc.identifier.authority | Chen, Z=rp02041 | - |
dc.identifier.doi | 10.1093/rfs/8.2.287 | - |
dc.identifier.volume | 8 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 287 | - |
dc.identifier.epage | 325 | - |
dc.identifier.isi | WOS:A1995RD61400003 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 0893-9454 | - |