Template-type: ReDIF-Paper 1.0
Author-Name: Alfredo Garcia 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: David Esteban Guerrero Burbano
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: This paper analyzes the market integration process of nominal prices, develops a model to analyze market integration, and 
	presents a test of increasing market integration. A distinction is made between the economic concepts of price convergence in 
	mean and variance. When both types of convergence occur, prices are said to converge in distribution. We present concepts and 
	definitions related to the market integration process, link these to price convergence in distribution, argue that the Law of 
	One Price is not a sufficient condition for market integration, and present a test of price convergence in distribution. We 
	apply our methodology to two different cases, namely the integration of: i) the inland grains market in 19th Century USA, and 
	ii) the Eurozone long-term bonds market after the euro entered circulation.
Classification-JEL: C22, C32, N70, F15.
Keywords: Regional and global markets, Integration, Asymptotic price convergence, Mean, Variance, Distribution.

Length: 39 pages 
Creation-Date: 2015-11
Number: 2015-18
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1518.txt
File-URL: https://eprints.ucm.es/id/eprint/34143/1/1518.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1518