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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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File URL: http://www.icer.it/docs/wp2006/ICERwp25-06.pdf
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Bibliographic Info

Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers with number 25-2006.

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Length: 31 pages
Date of creation: Jul 2006
Date of revision:
Handle: RePEc:icr:wpicer:25-2006

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Keywords: stock markets; ?financial integration; economic integration; factor vector autoregressive models; G-7.;

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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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