RT Generic
T1 Stochastic measures of financial markets efficiency and integration
A1 Balbás, Alejandro
A1 Muñoz-Bouzo, María José
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB The notion of integration of different fmancial markets is often related to the absence of crossmarket arbitrageopportunities. Under the appropriated asswnptions and in absence of cross-market arbitrage opportunities, a riskneutralprobability measure, shared by both markets, must exist. Some authors have considered this to providesome integration measures when the markets do not share any pricing rule, but always in static (or one period)asset pricing models.The purpose or this paper is to extend the refereed notions to a more general context. This is accomplished byintroducing a methodology which may be applied in any intertemporal dynamic asset pricing model and withoutspecial asswnptions on the assets prices stochastic process. Then, the integration measures introduced here arestochastic processes testing different relative arbitrage profits and depending on the state of nature and on the date.The measures are introduced in a single fmancial market. When this market is not a global market from differentones, the measures simply test the degree of market efficiency.Transaction costs can be discounted in our model. Therefore, one can measure efficiency and integration inmodels with frictions.The main results are also interesting form a mathematical pint of view, since some topics of Operational Researchare involved. We provide a procedure to solve a vector optimization problem with a non differentiable objectivefunction and prove some properties about its sensitivity.
YR 1997
FD 1997-12
LK https://hdl.handle.net/10016/7018
UL https://hdl.handle.net/10016/7018
LA eng
DS e-Archivo
RD 3 may. 2024