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.
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,