Zero-Return Measure  

作　　者：Sarod Khandaker 

机构地区：[1]Swinburne University of Technology, Melbourne, Australia

出　　处：《Journal of Modern Accounting and Auditing》2011年第11期1213-1222,共10页现代会计与审计（英文版）

摘　　要：The paper uses the proportion of zero-return days model to analyze stock market synchronous behaviors for 11 sample counties. 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 days measure and its capability to capture stock market synchronous behavior.

关 键 词：SYNCHRONICITY R-square zero-return measure panel data 

分 类 号：F832.5[经济管理—金融学] TG659[金属学及工艺—金属切削加工及机床]