This paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets....

Contents -- I. DEFINING THE PROBLEM -- II. METHODOLOGY -- III. RELATIONSHIP TO THE LITERATURE -- IV. EMPIRICAL IMPLEMENTATION -- V. RESULTS -- VI. SENSITIVITY ANALYSIS -- VII. SUMMARY AND CONCLUSIONS -- References