Reassessing the Determinants of International Stock Market Correlation

• Main Authors: Pandej Chintrakarn, Paweena Prasatkitjaroen
• Other Authors: Mahidol University International College. Business Administration Division
• Format: Article
• Language: English
• Published: 2015
• Subjects: Equity flows; Cross-border portfolio investment; Information asymmetries; Gravity model; Home bias
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/40223
• Institution: Mahidol University

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...