Financial asset integration
Sponsored Links
This presentation is the property of its rightful owner.
1 / 65

Financial Asset Integration PowerPoint PPT Presentation


  • 50 Views
  • Uploaded on
  • Presentation posted in: General

Financial Asset Integration. Andrew K. Rose and Robert P. Flood All materials (data sets, programs, papers, slides) at: http://faculty.haas.berkeley.edu/arose. Derive new methodology to assess integration of assets across instruments/borders/markets, etc. Illustrate technique empirically.

Download Presentation

Financial Asset Integration

An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -

Presentation Transcript


Financial Asset Integration

Andrew K. Rose and Robert P. Flood

All materials (data sets, programs, papers, slides) at:

http://faculty.haas.berkeley.edu/arose


Derive new methodology to assess integration of assets across instruments/borders/markets, etc.

Illustrate technique empirically

Two Objectives:


Definition of Asset Integration


Key:


Empirical Strategy


Impose Two (Reasonable?) Assumptions for Estimation:


Now We Have an Estimable Panel Equation:


Why this Strategy?


Are Assumptions Reasonable?


Strengths of Methodology


Differences with Literature


Most Importantly, don’t impose bond market integration


Illustration #1: American Equity Data


Notes


Data Characteristics


Shadow Discount Rates


Likelihood-Ratio (Joint) Test for Asset Integration


Broadening the Sample


Add Different Asset Classes


NASDAQ is usually (not always) integrated


More Interesting: NASDAQ is never integrated with the S&P


Sensitivity Analysis


In fact, Time-Varying Factors Make Little Difference!


Illustration #2: Tokyo Stock Exchange


Explore Importance of Grouping


Shadow Discount Rates


Likelihood-Ratio (Joint) Test for Asset Integration


TSE is not always integrated!


Sensitivity Analysis


Illustration #3: NYSE during the LTCM Crisis


Portfolios


Shadow Discount Rates


Likelihood-Ratio (Joint) Test for Asset Integration


NYSE is not integrated after LTCM/Russia Crisis


Illustration #4: The Asian Crisis of 1997


Portfolios


Again:


Likelihood-Ratio (Joint) Test for Asset Integration


Tokyo and Seoul are never integrated!


Illustration #5: American Securities 1993-2002


American Stocks and Bonds are not Integrated!


Deltas are uncorrelated with Stock Market and T-bill returns!


Illustration #6: August 21, 2003


Plausible Results


Future Work


  • Login