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Market Integration Dynamics and Asymptotic Price Convergence in Distribution García Hiernaux, Alfredo Alejandro Guerrero Burbano, David Esteban McAleer, Michael C22 C32 N70 F15 Regional and global markets Integration Asymptotic price convergence Mean Variance Distribution. Econometría (Economía) 5302 Econometría This paper analyzes the market integration process of nominal prices, develops a model to analyze market integration, and presents a test of increasing market integration. A distinction is made between the economic concepts of price convergence in mean and variance. When both types of convergence occur, prices are said to converge in distribution. We present concepts and definitions related to the market integration process, link these to price convergence in distribution, argue that the Law of One Price is not a sufficient condition for market integration, and present a test of price convergence in distribution. We apply our methodology to two different cases, namely the integration of: i) the inland grains market in 19th Century USA, and ii) the Eurozone long-term bonds market after the euro entered circulation. Fac. de Ciencias Económicas y Empresariales Instituto Complutense de Análisis Económico (ICAE) FALSE unpub 2023-06-18T10:25:33Z 2023-06-18T10:25:33Z 2015 technical report https://hdl.handle.net/20.500.14352/27534 2341-2356 eng Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) open access application/pdf