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Stock Market Co-Movement at the Disaggregated Level: Individual Stock Integration

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  • Dogus EMIN

    (School of Management, Social Sciences University of Ankara, Ankara, Turkey)

Abstract

This paper investigates the international stock market integration phenomenon at the disaggregated level. By using Geweke (1982) feedback measures, we measure the world market integration levels of individual companies. The results confirm the presence of individual stock integration since each company is integrated with the world market at different levels of strength. By using firm-specific and industry-level variables, we then explain the year-to-year changes in integration levels to identify the determinants of “individual stock integration”. The results of panel data analysis show that it is possible to explain those differences at individual integration levels with both company-specific variables and industry performance-related.

Suggested Citation

  • Dogus EMIN, 2016. "Stock Market Co-Movement at the Disaggregated Level: Individual Stock Integration," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(2), pages 96-112, April.
  • Handle: RePEc:fau:fauart:v:66:y:2016:i:2:p:96-112
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    References listed on IDEAS

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    Cited by:

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    2. Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017. "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 199-215, December.

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    More about this item

    Keywords

    disaggregated; firm-specific; stock market integration; Geweke measure; diversification;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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