Welcome to the new version of CaltechAUTHORS. Login is currently restricted to library staff. If you notice any issues, please email coda@library.caltech.edu
Published November 2009 | public
Journal Article

Global market integration: An alternative measure and its application

Abstract

Global 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.

Additional Information

© 2009 Published by Elsevier B.V. Received 28 April 2008, Revised 22 September 2008, Accepted 29 December 2008, Available online 18 July 2009. We are grateful for constructive comments from two referees, Rajna Gibson, John Griffin, Astrid Schornick, and participants at the 2009 American Finance Association meetings in San Francisco.

Additional details

Created:
August 21, 2023
Modified:
October 20, 2023