We present empirical evidence that the innovation in global equity correlation is a viable pricing factor in international markets. We develop a stylized model to motivate why this is a reasonable candidate factor and propose a simple way to measure it. We find that our factor has a robust...

Market integration is a canonical topic in international finance. The question of whether and to what extent markets are integrated with the global economy has motivated one of the largest literature in this field. Given the vast literature, this survey focuses only on equity market integration...