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International stock markets comovements: the role of economic and financial integration

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  • Claudio Morana

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Abstract

In this paper the contributions of economic and financial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the factor vector autoregressive framework (FVAR). The findings point to a key role of both economic and financial integration in determining stock markets comovements among the G-7 countries. While the former exercises its effects through the common response to global economic shocks, the latter operates through financial shocks spillovers, particularly at the regional level.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 35 (2008)
Issue (Month): 2 (September)
Pages: 333-359

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Handle: RePEc:spr:empeco:v:35:y:2008:i:2:p:333-359

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Keywords: International stock markets; Financial integration; Economic integration; Factor vector autoregressive models; G-7; G1; G15; C32;

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Cited by:
  1. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2012. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers," MPRA Paper 40003, University Library of Munich, Germany.
  2. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.

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