Flood, Robert P; Rose, Andrew K - C.E.P.R. Discussion Papers - 2004
through 2003, and daily data for 2003. Both datasets include assets from three different markets: the New York Stock Exchange …, the NASDAQ, and the Toronto Stock Exchange. For both monthly and daily frequencies, we find plausible estimates of EMRS … within and between stock markets. We find that all three markets seem to be internally integrated in the sense that different …