International financial integration through the law of one price:
"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. App...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C]
World Bank
[2006]
|
| Schriftenreihe: | Policy research working paper
3897 |
| Schlagworte: | |
| Online-Zugang: | BSB01 EUV01 HTW01 FHI01 IOS01 Volltext |
| Zusammenfassung: | "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) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Crisis episodes are associated with higher volatility, rather than by more persistent deviations from the law of one price. "--World Bank web site |
| Beschreibung: | Includes bibliographical references Title from PDF file as viewed on 4/24/2006 |
| Beschreibung: | 1 Online-Ressource |
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Datensatz im Suchindex
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| author | Schmukler, Sergio L. |
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| discipline | Wirtschaftswissenschaften |
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| index_date | 2024-07-03T22:27:47Z |
| indexdate | 2024-07-10T09:54:31Z |
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| language | English |
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| spelling | Schmukler, Sergio L. Verfasser aut International financial integration through the law of one price Sergio L. Schmukler, Eduardo Levy Yeyati, Neeltje Van Horen [Washington, D.C] World Bank [2006] 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Policy research working paper 3897 Includes bibliographical references Title from PDF file as viewed on 4/24/2006 "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) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Crisis episodes are associated with higher volatility, rather than by more persistent deviations from the law of one price. "--World Bank web site Online-Ausg Also available in print International economic integration International finance Levy Yeyati, Eduardo Sonstige oth World Bank Sonstige oth Schmukler, Sergio L International financial integration through the law of one price http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-3897 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Schmukler, Sergio L. International financial integration through the law of one price International economic integration International finance |
| title | International financial integration through the law of one price |
| title_auth | International financial integration through the law of one price |
| title_exact_search | International financial integration through the law of one price |
| title_exact_search_txtP | International financial integration through the law of one price |
| title_full | International financial integration through the law of one price Sergio L. Schmukler, Eduardo Levy Yeyati, Neeltje Van Horen |
| title_fullStr | International financial integration through the law of one price Sergio L. Schmukler, Eduardo Levy Yeyati, Neeltje Van Horen |
| title_full_unstemmed | International financial integration through the law of one price Sergio L. Schmukler, Eduardo Levy Yeyati, Neeltje Van Horen |
| title_short | International financial integration through the law of one price |
| title_sort | international financial integration through the law of one price |
| topic | International economic integration International finance |
| topic_facet | International economic integration International finance |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-3897 |
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