The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Measurement of Market Integration and Arbitrage
Open accessAbstract
We develop a measurement theory of market integration, based on two notions of “integrated markets”. First, two markets cannot be perfectly integrated in any sense if one can construct two portfolios, one from each market, that have identical payoffs but different prices. In that case, the law of one price is violated across the markets. Second, they cannot be integrated in a stronger sense if there are cross-market arbitrage opportunities. Two measures of market integration are developed, respectively reflecting these notions. The smaller the measures, the more closely integrated (in the respective senses) the markets. Among other things, they are interpreted as measuring pricing discrepancy between markets.
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Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
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Mongelli, F. P. (2002) · SSRN Electronic Journal · doi:10.2139/ssrn.357400 · Cited by 354
International risk sharing is better than you think, or exchange rates are too smooth
Brandt, M. W., Cochrane, J. H., & Santa-Clara, P. (2006) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2005.02.004 · Cited by 318
Portfolio Performance Measurement: Theory and Applications
Chen, Z., & Knez, P. J. (1996) · Review of Financial Studies · doi:10.1093/rfs/9.2.511 · Cited by 290
Self-citation
Metadata
- Authors
- Chen, Z., & Knez, P. J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1995-04
- Volume
- 8
- Issue
- 2
- Pages
- 287-325
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2162317250
- Cited by
- 205
- References
- 1
- FWCI
- 12.20
- Type
- journal article
- Language
- en
- Open access
- green
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Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
