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

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.