International Financial Integration through the Law of One Price

International Financial Integration through the Law of One Price

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...

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Bibliographic Details
Main Authors: Levy Yeyati, Eduardo, Schmukler, Sergio L., Van Horen, Neeltje
Format: Policy Research Working Paper
Language:English
Published: World Bank, Washington, DC 2012
Subjects:
ADJUSTMENT MECHANISM
ARBITRAGE
ASSET MARKET
ASSET MARKETS
BENCHMARK
CAPITAL CONTROLS
CAPITAL FLIGHT
CAPITAL INFLOWS
CAPITAL MARKET
CAPITAL MARKETS
CAPITAL MOBILITY
CAPITAL OUTFLOWS
CD
CONSUMER PRICE
CONSUMER PRICE INDEXES
CONVERTIBILITY
CRISIS EPISODES
DISCOUNT RATE
DIVIDENDS
DOMESTIC MARKET
DOMESTIC MARKETS
EMERGING ECONOMIES
EMERGING MARKET
EXCHANGE RATE
EXCHANGE RATE RISK
EXCHANGE RATES
FINANCIAL CRISES
FINANCIAL CRISIS
FINANCIAL INTEGRATION
FINANCIAL MARKET
FINANCIAL MARKETS
FOREIGN EXCHANGE
FOREIGN EXCHANGE RISK
FOREIGN EXCHANGE TRANSACTIONS
FORWARD EXCHANGE
FUTURE RESEARCH
GOLD STANDARD
HOME MARKET
INTEREST RATE
INTEREST RATES
INTERNATIONAL FINANCIAL MARKET
INTERNATIONAL INVESTORS
INTERNATIONAL MARKET
INTERNATIONAL MARKETS
LATIN AMERICAN
LIQUIDITY
LOCAL CURRENCY
MARKET INTEGRATION
MARKET PRICE
MARKET SEGMENTATION
MAXIMUM LIKELIHOOD ESTIMATION
POLICY RESEARCH
POOLING
PRICE COMPARISONS
PRICE INDEXES
PRICE VOLATILITY
PRICING MODELS
PURCHASING
PURCHASING POWER
PURCHASING POWER PARITY
RANDOM WALK
REAL EFFECTIVE EXCHANGE RATES
REAL EXCHANGE
REAL EXCHANGE RATES
REAL INTEREST
REAL INTEREST RATE
RESERVES
RETURN DIFFERENTIALS
RISK DIVERSIFICATION
RISK PREMIUM
SALE
SECURITIES
SPREAD
STANDARD DEVIATION
STOCK PRICES
STOCKS
SUBSTITUTION
TRANSACTION COSTS
VOLATILITY
Online Access:http://documents.worldbank.org/curated/en/2006/04/6737251/international-financial-integration-through-law-one-price
http://hdl.handle.net/10986/8704

Internet

http://documents.worldbank.org/curated/en/2006/04/6737251/international-financial-integration-through-law-one-price
http://hdl.handle.net/10986/8704

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