We propose a simple metric to measure two aspects of market integration, namely economic integration (defined as a common cash flow dynamic) and financial integration (defined as a common risk pricing dynamic) and then examine their evolution through time while controlling for volatility. We...

We study the correlation of monthly excess returns for seven major countries over the period 1960-1990. We find that the international covariance and correlation matrices are unstable over time. A multivariate GARCH(1,1) modelling with constant conditional correlation helps capture some of the...