Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility
本文通过检验多因子模型中本国与外国风险价格是否相等，评估加拿大与美国金融市场的国际一体化假说，发现一体化程度取决于与非货币事件和货币政策相关的两个因子风险价格。
Abstract. This paper evaluates the international integration hypothesis, that is, that risk‐adjusted anticipated returns are identical, even when financial instruments are traded in different countries. Under time‐varying conditional volatility, this hypothesis is tested by verifying the equality between domestic and foreign risk prices associated with a multi‐factor analytic specification. The maximum‐likelihood and Kalman‐filter estimates are used to assess the national risk prices and interpret the factors. Empirically, the integration of Canadian and U.S. financial markets depends on the risk prices of two factors, which are related to certain non‐monetary events and to the conduct of monetary policies.