Publication:
Reassessing the determinants of international stock market correlation

Issued Date

2010-12-01

Resource Type

Article

ISSN

14502887

Other identifier(s)

2-s2.0-78651420365

Rights

Mahidol University

Rights Holder(s)

SCOPUS

Bibliographic Citation

International Research Journal of Finance and Economics. Vol.60, (2010), 7-14

Suggested Citation

Pandej Chintrakarn, Paweena Prasatkitjaroen Reassessing the determinants of international stock market correlation. International Research Journal of Finance and Economics. Vol.60, (2010), 7-14. Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/29047

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Journal Issue

Thesis

Title

Reassessing the determinants of international stock market correlation

Author(s)

Pandej Chintrakarn
 Paweena Prasatkitjaroen

Other Contributor(s)

Mahidol University

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. © EuroJournals Publishing, Inc. 2010.

Keyword(s)

Economics, Econometrics and Finance

Availability

URI

https://repository.li.mahidol.ac.th/handle/20.500.14594/29047

Collections

Scopus 2006-2010