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| Author: | Pukthuanthong, K. Roll, R. |
| Title: | Global market integration: an alternative measure ans its application |
| Journal: | Journal of Financial Economics
2009 : NOV, VOL 94:2, p. 214-232 |
| Index terms: | international capital market factor analysis integration finance |
| Language: | eng |
| Abstract: | As there is no established measure for integration despite the fact that global markets are becoming more and more integrated, this paper aims to develop one. The authors argue that correlation is not an efficient measure for integration as perfectly integrated markets can show only weak correlation. A new model to measure integration is derived using a multi-factor model, which is then applied in practice to examine recent global integration trends. The analysis reveals marked increase in integration for most countries during the past thirty years. This trend, however, is not exhibited by correlation measures among country indexes. |
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