Reassessing the determinants of international stock market correlation

Pandej Chintrakarn; Paweena Prasatkitjaroen

Reassessing the determinants of international stock market correlation

Pandej Chintrakarn
, Paweena Prasatkitjaroen

Business Administration Division

Mahidol University

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

The purpose of this paper is to examine the determinants of international stock market correlation by applying the gravity model where the roles of distance and overlapping opening hours are of key interest in this study. Based on the work of Flavin, Hurley, & Rousseau (2002), we utilize a dynamic gravity model, the findings herein confirm the importance of overlapping hour variable as the main determinant of international stock markets correlation.

Original language	English
Pages (from-to)	7-14
Number of pages	8
Journal	International Research Journal of Finance and Economics
Volume	60
Publication status	Published - Dec 2010

Keywords

Cross-border portfolio investment
Equity flows
Gravity model
Home bias
Information asymmetries

Cite this

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title = "Reassessing the determinants of international stock market correlation",

abstract = "The purpose of this paper is to examine the determinants of international stock market correlation by applying the gravity model where the roles of distance and overlapping opening hours are of key interest in this study. Based on the work of Flavin, Hurley, \& Rousseau (2002), we utilize a dynamic gravity model, the findings herein confirm the importance of overlapping hour variable as the main determinant of international stock markets correlation.",

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AB - The purpose of this paper is to examine the determinants of international stock market correlation by applying the gravity model where the roles of distance and overlapping opening hours are of key interest in this study. Based on the work of Flavin, Hurley, & Rousseau (2002), we utilize a dynamic gravity model, the findings herein confirm the importance of overlapping hour variable as the main determinant of international stock markets correlation.

KW - Cross-border portfolio investment

KW - Equity flows

KW - Gravity model

KW - Home bias

KW - Information asymmetries

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EP - 14

JO - International Research Journal of Finance and Economics

JF - International Research Journal of Finance and Economics

ER -

Reassessing the determinants of international stock market correlation

Abstract

Keywords

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