Global market integration: An alternative measure and its application
By Kuntara Pukthuanthong, Richard Roll. 2009
585 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/974e3d119ca9db1012b2656c8ce19e3b09cc40e7
How researchers see this paper
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In Economics and Econometrics
- Heikki Lehkonen
- Jussi Nikkinen
- Jarno Kiviaho
- M. Graham
- Kuntara Pukthuanthong
- C. Aloui
- Shawkat Hammoudeh
- Hela B Hamida
In Finance
Citations in the corpus
- Culture and R 2 (2014, unknown): “To construct a second measure of capital market openness, we follow the approach of Pukthuanthong and Roll (2009) and construct a stock market integration proxy.”
- International Bond Risk Premia (2013, unknown): “2Considering other asset classes, Pukthuanthong and Roll (2009) find evidence of increased integration of international equity markets over time.”
- Global Crises and Equity Market Contagion (2012, unknown): “Endnotes 1 Pukthuanthong and Roll (2009) stress that decreases in idiosyncratic volatility can also induce excess comovements.”
- International diversification with frontier markets (2011, background): “Pukthuanthong and Roll (2009) also consider cross-market correlations inadequate as measures of integration.”
- Stock Market Integration and the Global Financial Crisis (2015, methodology): “For these reasons, we use an integration measure developed by Pukthuanthong and Roll (2009) that was originally designed to provide an alternative to the”
- What Segments Equity Markets (2011, unknown): “…(e.g., world market portfolio betas); see for example Baele (2005), Bekaert and Harvey (1995), Bekaert, Hodrick, and Zhang (2009), Eiling and Gerard (2007), Eun and Lee (2009), and Pukthuanthong and Roll (2009) for recent examples and Karolyi and Stulz (2003) for a survey of previous research.”
- How Does Bank Competition Affect Systemic Stability (2012, unknown): “In terms of measuring co-dependence, using R-squared has advantages over alternative measures as described in Pukthuanthong and Roll (2009) and Bekaert and Wang (2009).”
- Do Implicit Barriers Matter for Globalization (2013, unknown): “Occurrences of reversals are also documented for some countries by CEH and Pukthuanthong and Roll (2009).”
- Integration of 22 emerging stock markets: A three-dimensional analysis (2012, methodology): “3 As a measure of economic integration, a simple correlation coefficient can be a poor measure as pointed out by Pukthuanthong and Roll (2009).”