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Integration and arbitrage in the Spanish financial markets: an empirical approach
Universidad Carlos III, Madrid, Spain.ORCID iD: 0000-0002-1097-3784
2000 (English)In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 20, no 4, 321-344 p.Article in journal (Refereed) Published
Abstract [en]

Several authors have introduced different ways to measure integra-tion between financial markets. Most of them are derived from thebasic assumptions about asset prices, like the Law of One Price orthe absence of arbitrage opportunities. Two perfectly integrated mar-kets must give identical prices to identical final payoffs, and a vectorof positive discount factors, common to both markets, must exist. Ifthese properties do not hold, the degree to which they are violatedcan be defined and considered as a measure of integration.

Place, publisher, year, edition, pages
2000. Vol. 20, no 4, 321-344 p.
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Economics and Business
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URN: urn:nbn:se:su:diva-121011DOI: 10.1002/(SICI)1096-9934(200004)20:4<321::AID-FUT2>3.0.CO;2-JOAI: oai:DiVA.org:su-121011DiVA: diva2:855610
Available from: 2015-09-21 Created: 2015-09-21 Last updated: 2017-12-04Bibliographically approved

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Longarela, Iñaki R.
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