Brunt, Liam; Cannon, Edmund - Institutt for samfunnsøkonomi, Norges Handelshøyskole … - 2013
Cointegration analysis has been used widely to quantify market integration through price arbitrage. We show that total price variability can be decomposed into: (i) magnitude of price shocks; (ii) correlation of price shocks; (iii) betweenperiod arbitrage. All three measures depend upon data...