Measuring Financial Integration via Idiosyncratic Risk: What Effects Are We Really Picking Up?
检验了Flood和Rose提出的用个股收益特质成分估算无风险利率以判断金融一体化的方法，发现该方法估算不准，实际估算的是市场收益，因此可能错误地接受一体化。
We study the method proposed by Flood and Rose (FR, 2004, 2005) for checking for financial integration by estimating the risk-free rate using the idiosyncratic component of individual stock returns. Performing simulations with data with a known return generation process, we find that the FR methodology produces poor estimates of the risk-free rate, and hence the FR method fails to accept integration when true. We then show analytically that the FR method actually provides an estimate of the market return, and conclude the FR methodology would also falsely accept integration as long as the market returns in the two markets do not differ widely. Copyright 2007 The Ohio State University.