Università della Svizzera italiana

Financial market integration and asset prices

Sandulescu, Paula Mirela ; Trojani, Fabio (Dir.) ; Gagliardini, Patrick (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.

My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...