Zero-return measure

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.