Comovements among national stock markets
利用Hansen-Jaganathan方法推导出完全市场假设下资产收益相关性的下界，并用该下界对美国、日本和英国股市数据进行非参数检验，发现市场整合的结论依赖于未观测到的世界贴现率的波动性。
This paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique stochastic discount factor. The paper uses this bound to conduct robust, nonparametric tests of the hypothesis that international equity markets are integrated. ; Using monthly stock return data from the U.S., Japan, and Great Britain for the period 1980 through 1993, I find that conclusions about market integration depend sensitively on the assumed variation of the (unobserved) common world discount rate. Given the observed correlations in returns, markets are more likely to be integrated the more volatile is the discount rate.