Publication:
The effectiveness of several market integration measures when facing a market turmoil

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2003
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Palgrave Macmillan
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Abstract
Many market integration measures are operationalised to compute their numerical values during a period characterised by lack of stability and market turmoil. The results of the test give their degree of effectiveness, and revel that measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets.
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Effectiveness, Securities markets, Correlation analysis, Mathematical models
Bibliographic citation
Journal of Derivatives & Hedge Funds, 2003, v. 8, nº 4, pp. 345-368