Global market integration: An alternative measure and its application
AbstractGlobal markets seem to be increasingly integrated but there is no well-accepted measure of integration. We show that the correlation across markets is a poor measure; perfectly integrated markets can exhibit weak correlation. We derive a new integration measure based on the explanatory power of a multi-factor model and use it empirically to investigate recent trends in global integration. For most countries, there has been a marked increase in measured integration over the past three decades, but this is not indicated by correlations among country indexes.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Economics.
Volume (Year): 94 (2009)
Issue (Month): 2 (November)
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Web page: http://www.elsevier.com/locate/inca/505576
Market integration Correlation International market Factor analysis;
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