Financial Integration: A New Methodology and an Illustration
提出一种检验资产市场一体化的简单方法，通过比较不同资产的无风险利率预期来判断市场是否整合，并应用于美国股票市场内部及市场之间。
This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well-integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by the Fama and French factor model of covariances over short time periods. We find that internal integration in the S&P 500 market is never rejected and is not generally rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically.