Market Integration - Conceptual and Application Issues
DOI:
https://doi.org/10.12723/mjs.1.5Keywords:
Market Integration, Market Integration - Conceptual and Application Issues, Organically linked markets, "pure error", significant integration, Detrend, Deseasonalise, Decycle, primary and terminal marketsAbstract
Correlation is a measure of market integration. Correlation Coefficients of Prices, which include trend, seasonal and cylindrical effects are not adequate to precisely measure the degree of market integration. Integration of "pure errors" (pure errors means error series free from autocorrelation effects) of several time series enables us to determine the significance or otherwise integration of markets.
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