International Financial Integration Through the Law of One Price

Eduardo Levy-Yeyati, S. Schmukler, Neeltje van Horen
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引用次数: 27

Abstract

The authors argue that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage. Applying to equity markets recent methodological developments in the purchasing power parity literature, they show that nonlinear Threshold Autoregressive (TAR) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Crisis episodes are associated withhigher volatility, rather than by more persistent deviations from the law of one price.
通过 "一价定律 "实现国际金融一体化
作者认为,跨市场溢价(跨市场上市股票的国内和国际市场价格之间的比率)为国际金融一体化提供了一个有价值的衡量标准,它准确地反映了分割市场和抑制价格套利的因素。他们将购买力平价文献中最新的方法论发展应用于股票市场,结果表明非线性阈值自回归(TAR)模型能正确捕捉跨市场溢价的行为。估计结果揭示了非套利窄带的存在,并表明这些窄带之外的价格差异会被迅速套利掉,其速度远远快于对良好市场的记录。此外,作者还发现,金融一体化会随着市场流动性的增加而增加。具有约束力的资本管制会扩大非套利区间,使价格差异更加持久,从而分割金融市场。危机事件与更高的波动性有关,而不是与更持久地偏离单一价格规律有关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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