Zero-return measure of stock synchronicity

Search Swinburne Research Bank

Home

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.3/189148

Title: Zero-return measure of stock synchronicity
Author(s): Khandaker, Sarod
Abstract: This paper uses the proportion of zero-return day's model to analyse stock market synchronous behaviors for eleven sample county. It is found that the zero-return measure of stock synchronicity is higher for some emerging economies than the developed economies though the result is not statistically significant. In addition, panel data analysis indicates somewhat positive and negative correlation between the zero-return measures with the explanatory variables. The findings raise question about the reliability of the proportion of zero-return day's measure and it's capability to capture stock market synchronous behavior.
Publication type: Conference paper
Research centre: Swinburne University of Technology
Source: Proceedings of 'Issues in global research in business and economics', the 6th International Conference of the Global Academy of Business and Economic Research (GABER), New York, New York, United States, 17-19 October 2010, pp. 34-47
Publication year: 2010
FOR Code(s): 140207 Financial Economics; 150201 Finance
Keyword(s): Panel data; R square measure; Synchronicity; Zero returns measure
Publisher: Global Academy of Business and Economic Research
ISBN: 1940-5391
Publisher URL: http://www.gaberic.org/publications.html
Peer reviewed