Determinant of Stock Market Return Correlation: An Extented Gravity Model Approach
Keywords:
Equity market correlation, panel dataAbstract
During the last several years a large number of studies have expressed increasing concerns regarding to importance of stock market correlation across the countries due to diversification problem. Most of the emprical studies try to measure correlation between stock market returns across countries without questioning that what drives correlation. The main objective of this study is to investigate the determinant of correlation between Istanbul Stock Exchange (ISE) return and stock market returns for selected countries over the 1991:1–2006:12 period by employing the extented gravity model with a panel regression econometric technique.
This study departure from previous studies in two ways. First, study focuses on determinant of correlation between ISE return and selected 39 developed and developing countries from different regions. Second, two new variables (level of democracy and European Union (EU) membership) used to explain correlation between ISE return and return of selected countries stock market.
Result from panel data regression showed that ISE is more correlated with democratic countries stock market. Also, if there is volatility in world stock markets return, correlation between ISE and selected stock market returns will increase.
Downloads
Published
How to Cite
Issue
Section
License
The Author(s) must make formal transfer of copyright for each article prior to publication in the International Journal of Contemporary Economics and Administrative Sciences. Such transfer enables the Journal to defend itself against plagiarism and other forms of copyright infringement. Your cooperation is appreciated. You agree that copyright of your article to be published in the International Journal of Contemporary Economics and Administrative Sciences is hereby transferred, throughout the World and for the full term and all extensions and renewals thereof, to International Journal of Contemporary Economics and Administrative Sciences.
The Author(s) reserve(s): (a) the trademark rights and patent rights, if any, and (b) the right to use all or part of the information contained in this article in future, non-commercial works of the Author's own, or, if the article is a "work-for-hire" and made within the scope of the Author's employment, the employer may use all or part of the information contained in this article for intra-company use, provided the usual acknowledgements are given regarding copyright notice and reference to the original publication.
The Author(s) warrant(s) that the article is Author's original work, and has not been published before. If excerpts from copyrighted works are included, the Author will obtain written permission from the copyright owners and shall credit the sources in the article. The author also warrants that the article contains no libelous or unlawful statements, and does not infringe on the rights of others. If the article was prepared jointly with other Author(s), the Author agrees to inform the co-Author(s) of the terms of the copyright transfer and to sign on their behalf; or in the case of a "work-for-hire" the employer or an authorized representative of the employer.
The journal is registered with the ISSN : 1925-4423.
IJCEAS is licensed under a Creative Commons Attribution 4.0 International License.
This license lets others distribute, remix, tweak, and build upon your work, even commercially, as long as they credit you for the original creation. This is the most accommodating of licenses offered. Recommended for maximum dissemination and use of licensed materials.
