IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v10y2000i3p261-276.html
   My bibliography  Save this article

Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95

Author

Listed:
  • David Dickinson

Abstract

As stock markets world-wide have become more open there has been increasing interest in international linkages. The recent literature has used modern time series techniques (cointegration, causality) to investigate this issue and generally has found there to be greater links between stock markets in recent years with the US causing other market movements. In a different vein, there has been work to identify the underlying economic variables which cause stock index movements. This research has uncovered a number of key macroeconomic variables (e.g. output, inflation, interest rates) as significant determinants of stock market movements. This paper approaches the issue of stock index behaviour by combining the insights of both these approaches. In particular it considers the extent to which correlations between international stock markets are a result of globalization of financial markets or whether they reflect the increasingly integrated nature of the world real economy, as represented by comovements between key macroeconomic variables. This study will concentrate on the US (New York) and three European Stock markets (London, Paris and Frankfurt).

Suggested Citation

  • David Dickinson, 2000. "Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 261-276.
  • Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:261-276
    DOI: 10.1080/096031000331671
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/096031000331671
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bernard Dumas & Campbell Harvey & Pierre Ruiz, 1997. "Are Common Swings in International Stock Returns Justified by Subsequent Changes in National Outputs ?," Working Papers hal-00605596, HAL.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gazi Mainul Hassan & Hisham M. Al refai, 2012. "Can macroeconomic factors explain equity returns in the long run? The case of Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1029-1041, July.
    2. Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-193, July.
    3. Aristeidis G. Samitas & Dimitris F. Kenourgios, 2007. "Macroeconomic factors' influence on 'new' European countries' stock returns: the case of four transition economies," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 2(1/2), pages 34-49.
    4. Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014. "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 36-58.
    5. Tomoe Moore, 2007. "Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1431-1446.
    6. Claus, Edda & Lucey, Brian M., 2012. "Equity market integration in the Asia Pacific region: Evidence from discount factors," Research in International Business and Finance, Elsevier, vol. 26(2), pages 137-163.
    7. Dennis P. Quinn & Hans-Joachim Voth, 2008. "A Century of Global Equity Market Correlations," American Economic Review, American Economic Association, vol. 98(2), pages 535-540, May.
    8. Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
    9. Numan Ülkü, 2011. "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 277-304, July.
    10. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
    11. Syriopoulos, Theodore, 2007. "Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 41-60.
    12. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
    13. Quinn, Dennis & Voth, Hans-Joachim, 2008. "Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001," CEPR Discussion Papers 7013, C.E.P.R. Discussion Papers.
    14. Syriopoulos, Theodore, 2011. "Financial integration and portfolio investments to emerging Balkan equity markets," Journal of Multinational Financial Management, Elsevier, vol. 21(1), pages 40-54, February.
    15. Eleftherios J. Thalassinos & Evagelos D. Politis, 2011. "International Stock Markets: A Co-integration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 113-130.
    16. Laopodis, Nikiforos T., 2005. "Portfolio diversification benefits within Europe: Implications for a US investor," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 455-476.
    17. Bley, Jorg, 2009. "European stock market integration: Fact or fiction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 759-776, December.
    18. Barry Harrison & Winston Moore, 2009. "Spillover effects from London and Frankfurt to Central and Eastern European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(18), pages 1509-1521.
    19. Dennis Quinn & Hans-Joachim Voth, 2010. "Free Flows, Limited Diversification: Openness and the Fall and Rise of Stock Market Correlations, 1890-2001," NBER Chapters,in: NBER International Seminar on Macroeconomics 2009, pages 7-39 National Bureau of Economic Research, Inc.
    20. Matei, Florin, 2014. "An empirical examination of stock market integration in EMU," MPRA Paper 60717, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:261-276. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.