本文主要有三个目的。首先,从一价定律的理论定义出发论证市场整合研究需要价格、交易成本和贸易量三个维度的信息支持,而目前常用的方法一般单纯依赖价格数据,从而隐含了交易成本平稳和贸易连续发生的前提假设。第二,从理论和实证两方面证明这些假设对实际的偏离,并分析了常用的价格方法在辨别不同市场状态、提高研究政策含义方面的重要局限。第三,探讨方法改进的思路。 This article has three main purposes. First of all, starting from the theoretical definition of the law of one price, it is argued that the market integration research needs information support in three dimensions of price, transaction cost and trade volume. At present, the commonly used methods generally depend on the price data, thus implying a steady transaction cost and a continuous trade Hypotheses that occurred. Second, it proves the deviation of these hypotheses from the theoretical and empirical aspects, and analyzes the important limitations of the commonly used price methods in distinguishing different market states and enhancing the meaning of research policies. Third, to explore ways to improve the ideas.