Publication:
Reassessing the Determinants of International Stock Market Correlation

Issued Date

2010

Resource Type

Article

Language

eng

Rights

Mahidol University

Rights Holder(s)

EBSCOhost

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/20.500.14594/40223

Research Projects

Organizational Units

Authors

Journal Issue

Thesis

Title

Reassessing the Determinants of International Stock Market Correlation

Author(s)

Pandej Chintrakarn
 Paweena Prasatkitjaroen

Other Contributor(s)

Mahidol University International College. Business Administration Division

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.

Keyword(s)

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

Availability

URI

https://repository.li.mahidol.ac.th/handle/20.500.14594/40223

Collections

MUIC-Article