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

  • Claudio Morana

    ()

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://hdl.handle.net/10.1007/s00181-007-0161-2
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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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