Template-type: ReDIF-Paper 1.0
Author-Name: Alfredo García Hiernaux
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa). Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Guerrero David E.
Author-Workplace-Name: CUNEF (Colegio Universitario de Estudios Financieros), Madrid, Spain.
Author-Name:  Michael McAleer
Author-Workplace-Name: Department of Quantitative Finance, National Tsing Hua University, Taiwan.

Title: Market Integration Dynamics and Asymptotic Price Convergence in Distribution
Abstract: In this paper we analyse the market integration process of the relative price distribution, develop a model to analyze market 
	integration, and present a formal test of increasing market integration. We distinguish between the economic concepts of price 
	convergence in mean and in variance. When both types of convergence occur, prices are said to converge in distribution. We 
	present concepts and denitions related to the market integration process, link this to price convergence in distribution, 
	argue that the Law of One Price (LOP) is not a sucient condition for market integration, and present a formal test of price 
	convergence in distribution. In the empirical analysis, we analyze integration of the inland grains market in 19th Century USA.
Classification-JEL: C22, C32, F15, N70.
Keywords: Regional and global markets, Integration, Asymptotic price convergence, Mean, Variance, Distribution.
Length: 22 pages 
Creation-Date: 2013
Revision-Date: 2013-08  
Number: 2013-28 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1328.txt
File-URL: https://eprints.ucm.es/id/eprint/22705/1/1328.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1328