This paper analyses whether there has been an increase in the degree of financial market integration during the nineties. To do this, we focus on stock markets and compute two alternative measures of market integration based on a refinement of the approach suggested by Chen, Z., Knez, P.J., 1995. [Measurement of market integration and arbitrage, Review of Financial Studies 8(2), 287–325]. The
... [Show full abstract] main advantage of this approach is that it relies on the condition of absence of arbitrage opportunities, which is directly related to the idea that more integration means less barriers to trade across markets — and does not depend on any particular asset pricing model. The evidence found suggests that during the nineties there has been an increase of the degree of market integration between stock markets.
