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Economic integration and the comovement of stock returns

  • Tavares, José

We 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.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4VG5HWH-1/2/7d408cd4a325d1190061f9e0c66c1d73
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 103 (2009)
Issue (Month): 2 (May)
Pages: 65-67

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Handle: RePEc:eee:ecolet:v:103:y:2009:i:2:p:65-67
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
  2. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
  3. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
  4. 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.
  5. 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.
  6. Robin Brooks & Marco Del Negro, 2003. "International stock returns and market integration: A regional perspective," Working Paper 2002-20, Federal Reserve Bank of Atlanta.
  7. 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.
  8. 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.
  9. 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.
  10. Garcia Pascual, Antonio, 2003. "Assessing European stock markets (co)integration," Economics Letters, Elsevier, vol. 78(2), pages 197-203, February.
  11. 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.
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