Economic integration and the comovement of stock returns
AbstractWe analyze how economic integration affects the cross-country comovements in stock returns, in developed and emerging markets. Bilateral trade intensity increases the correlation of returns, while real exchange rate volatility, the asymmetry of output growth and export dissimilarity decrease it.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 103 (2009)
Issue (Month): 2 (May)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Economic integration Correlation of stock returns Bilateral trade Real exchange rate volatility Asymmetry of output growth Legal and political institutions;
Other versions of this item:
- Morgado, Pedro & Tavares, José, 2007. "Economic Integration and the Co-movement of Stock Returns," CEPR Discussion Papers 6519, C.E.P.R. Discussion Papers.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F15 - International Economics - - Trade - - - Economic Integration
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000.
"Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?,"
00-2, University of Pennsylvania, Wharton School, Weiss Center.
- Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005.
"International Stock Return Comovements,"
06-3, University of Pennsylvania, Wharton School, Weiss Center.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 0931, European Central Bank.
- Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2006. "International Stock Return Comovements," CEPR Discussion Papers 5955, C.E.P.R. Discussion Papers.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
- Rose, Andrew K, 1999.
"One Money, One Market: Estimating the Effect of Common Currencies on Trade,"
CEPR Discussion Papers
2329, C.E.P.R. Discussion Papers.
- Andrew K. Rose, 1999. "One Money, One Market: Estimating the Effect of Common Currencies on Trade," NBER Working Papers 7432, National Bureau of Economic Research, Inc.
- Rose, Andrew, 1999. "One Money, One Market: Estimating the Effect of Common Currencies on Trade," Seminar Papers 678, Stockholm University, Institute for International Economic Studies.
- Marco Del Negro & Robin Brooks, 2002. "International Stock Returns and Market Integration," IMF Working Papers 02/202, International Monetary Fund.
- William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001.
"Long-Term Global Market Correlations,"
Yale School of Management Working Papers
ysm237, Yale School of Management, revised 01 Jan 2008.
- William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," NBER Working Papers 8612, National Bureau of Economic Research, Inc.
- Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
- Heaney, Richard & Hooper, Vince, 2002. "Regional Integration of Stock Markets in Latin America," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 17, pages 745-760.
- Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
- Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
- Larrain Felipe & Jose Tavares, 2003. "Regional Currencies Versus Dollarization: Options for Asia and the Americas," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 6(1), pages 35-49.
- Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
- Alexander Eptas & Lawrence A. Leger, 2010. "A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 97-117, December.
- Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
- Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers 1101.4093, arXiv.org.
- Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.
- Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas, 2013. "Stock exchange mergers and return co-movement: A flexible dynamic component correlations model," Economics Letters, Elsevier, vol. 121(3), pages 511-515.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.