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

Czech Journal of Economics and Finance, 66, 2016, no. 2

17 Pages Posted: 20 Apr 2017  

Dogus Emin

Social Sciences University of Ankara

Date Written: 2016

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.

Keywords: disaggregated, firm-specific, stock market integration, Geweke measure, diversification

JEL Classification: F36, G11, G15

Suggested Citation

Emin, Dogus, Stock Market Co-Movement at the Disaggregated Level: Individual Stock Integration (2016). Czech Journal of Economics and Finance, 66, 2016, no. 2 . Available at SSRN: https://ssrn.com/abstract=2955700

Dogus Emin (Contact Author)

Social Sciences University of Ankara ( email )

Turkey

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