Global market integration: An alternative measure and its application

• 成果类型: Article
• 署名作者: Pukthuanthong, Kuntara; Roll, Richard
• 署名单位: California State University System; San Diego State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.12.004
• 发表日期: 2009
• 页码: 214-232
• 关键词: market integration; correlation; International market; factor analysis

摘要

Global markets seem to be increasingly integrated but there is no well-accepted measure of integration. We show that the correlation across markets is a poor measure; perfectly integrated markets can exhibit weak correlation. We derive a new integration measure based on the explanatory power of a multi-factor model and use it empirically to investigate recent trends in global integration. For most countries, there has been a marked increase in measured integration over the past three decades, but this is not indicated by correlations among country indexes. Published by Elsevier B.V.