Reassessing the determinants of international stock market correlation
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 dynam...
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th-mahidol.290472018-09-24T15:58:40Z Reassessing the determinants of international stock market correlation Pandej Chintrakarn Paweena Prasatkitjaroen Mahidol University Economics, Econometrics and Finance 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. 2018-09-24T08:58:40Z 2018-09-24T08:58:40Z 2010-12-01 Article International Research Journal of Finance and Economics. Vol.60, (2010), 7-14 14502887 2-s2.0-78651420365 https://repository.li.mahidol.ac.th/handle/123456789/29047 Mahidol University SCOPUS https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=78651420365&origin=inward |
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Asia |
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Thailand Thailand |
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Economics, Econometrics and Finance |
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Economics, Econometrics and Finance Pandej Chintrakarn Paweena Prasatkitjaroen Reassessing the determinants of international stock market correlation |
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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. |
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Mahidol University |
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Mahidol University Pandej Chintrakarn Paweena Prasatkitjaroen |
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Article |
| author |
Pandej Chintrakarn Paweena Prasatkitjaroen |
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Pandej Chintrakarn |
| title |
Reassessing the determinants of international stock market correlation |
| title_short |
Reassessing the determinants of international stock market correlation |
| title_full |
Reassessing the determinants of international stock market correlation |
| title_fullStr |
Reassessing the determinants of international stock market correlation |
| title_full_unstemmed |
Reassessing the determinants of international stock market correlation |
| title_sort |
reassessing the determinants of international stock market correlation |
| publishDate |
2018 |
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https://repository.li.mahidol.ac.th/handle/123456789/29047 |
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1763490050420506624 |