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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。
In this paper, from the perspective of understanding the market structure and operational efficiency, this paper analyzes and compares the two methods used in the market integration research literature in recent years - cointegration test and state transition model, Incomplete integration “and” market isolation “three theoretical definitions, and on the basis of systematic comparison of the two methods in providing information on market conditions function. This paper argues that the simple ”price integration“ is neither a necessary nor sufficient condition for ”market consolidation ". The state transition model has the ability to comprehensively examine the three aspects of price, transaction cost and trade required by market efficiency, However, it still has some limitations in understanding the interaction between markets and the dynamic analysis of its adjustment process.