A New Approach to Asset Integration: Methodology and Mystery
A New Approach to Asset Integration: Methodology and Mystery
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资产整合的新方法：方法论与奥秘
DOI：
10.1111/j.1468-0106.2005.00258.x
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发表时间：
2005
影响因子：
1.2
通讯作者：
Andrew K. Rose
中科院分区：
文献类型：
--
作者：
Robert P. Flood;Andrew K. Rose
本文开发了一种测试金融市场一体化的新方法。我们的技术基于跨期资产定价模型，并依赖于估计和比较各个资产市场的预期贴现率。预期贴现率可以随时间自由变化，仅受限于资产之间的贴现率相等这一事实。资产允许具有非常一般的风险特征，并且仅受短期内贴现率的协方差线性因子模型的约束。我们为我们的技术提供了各种国内和国际经验例证，但令人惊讶的是，几乎没有发现整合的证据。版权所有 2005 布莱克韦尔出版有限公司
This paper develops a new methodology to test financial market integration. Our technique is based on an intertemporal asset-pricing model, and relies on estimating and comparing expected discount rates across asset markets. Expected discount rates are allowed to vary freely over time, constrained only by the fact that they are equal across assets. Assets are allowed to have very general risk characteristics, and are constrained only by a linear factor model of covariances with the discount rate over short time periods. We provide a variety of domestic and international empirical illustrations of our technique, and find surprisingly little evidence of integration. Copyright 2005 Blackwell Publishing Ltd