If equity markets are financially integrated, the price of risk should be the same across markets. If the markets are not financially integrated - possibly because of barriers to capital flows across markets - the price of risk may differ across markets. The author investigates one measure of financial integration between equity markets. He uses a multifactor equilibrium Arbitrage Pricing Theory to define risk and to measure deviations from the "law...
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INFORMATION
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1995/06/30
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Document de travail de recherche sur les politiques
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WPS1482
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1
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1
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2010/07/01
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A measure of stock market integration for developed and emerging markets
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Finance & Private Sector Development
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