市场整合研究方法与传达的信息

Testing Methods for Market Integration and Their Implications

本文从认识市场结构和运作效率的角度，分析和比较了近年市场整合研究文献中使用较多的两种方法——协整检验和状态转换模型，对市场的“完全整合”、“不完全整合”和“市场隔离”三种状况进行理论界定，并在此基础上系统比较两种方法在提供关于市场状况信息方面的功能。本文认为单纯的“价格整合”既不是“市场整合”的必要条件也非充分条件；状态转换模型有着全面考查市场效率所需的价格、交易成本和贸易量三方面信息的能力，但它在了解市场之间的相互影响及其调整过程等动态分析方面尚有一定局限。

This paper reviews and compares two methods for testing market integration that have been mostly used in the recent literature, i. e., the co-integration test and the regime-switching model. Markets are classified into three categories： perfect integration, im- perfect integration, and segmentation, and a theoretical definition is provided for each category. Our analysis indicates that ＂price integration＂ is neither necessary nor sufficient for ＂market integration＂. The regime-switching model is more powerful in absorbing information on market conditions from all the three sources that are needed to explain market efficiency： prices, transaction costs, and trade flows, although the model is still limited in detecting dynamic aspects such as interactions between markets and the adjustment process.