IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://servizi.sme.unito.it/icer_repec/RePEc/icr/wp2006/ICERwp25-06.pdf
Download Restriction: no

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

as
in new window

Length: 31 pages
Date of creation: Jul 2006
Date of revision:
Handle: RePEc:icr:wpicer:25-2006
Contact details of provider: Postal:
Corso Unione Sovietica, 218bis - 10134 Torino - Italy

Phone: +39 011 6706060
Fax: +39 011 6706062
Web page: http://www.esomas.unito.it/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
  2. Bagliano, Fabio C. & Morana, Claudio, 2009. "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, vol. 26(2), pages 432-444, March.
  3. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
  4. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  5. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
  6. Michael Rockinger & Eric Jondeau, 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers hal-00601478, HAL.
  7. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
  8. Forbes, Kristen & Chinn, Menzie David, 2003. "A Decomposition of Global Linkages in Financial Markets Over Time," Working papers 4414-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  9. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
  10. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
  11. Jean Imbs, 2006. "The Real Effects of Financial Integration," Post-Print hal-00612566, HAL.
  12. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 373-388, November.
  13. Groenen, Patrick J. F. & Franses, Philip Hans, 2000. "Visualizing time-varying correlations across stock markets," Journal of Empirical Finance, Elsevier, vol. 7(2), pages 155-172, August.
  14. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
  15. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  16. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
  17. A. Ronald Gallant, 1984. "The Fourier Flexible Form," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(2), pages 204-208.
  18. Phylaktis, Kate & Ravazzolo, Fabiola, 2002. "Measuring financial and economic integration with equity prices in emerging markets," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 879-903, November.
  19. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June.
  20. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  21. Sul, Donggyu & Phillips, Peter & Choi, Chi-Young, 2003. "Prewhitening Bias in HAC Estimation," Working Papers 141, Department of Economics, The University of Auckland.
  22. Campbell, John, 1991. "A Variance Decomposition for Stock Returns," Scholarly Articles 3207695, Harvard University Department of Economics.
  23. Robert J. Gordon, 2005. "What Caused the Decline in U.S. Business Cycle Volatility?," NBER Working Papers 11777, National Bureau of Economic Research, Inc.
  24. Fabio Canova & Gianni de Nicoló, 1999. "On the sources of business cycles in the G-7," Economics Working Papers 459, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2000.
  25. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
  26. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
  27. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  28. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  29. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic Correlation Across International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt6vn9q79w, Anderson Graduate School of Management, UCLA.
  30. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
  31. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc.
  32. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
  33. Brooks, Robin & Del Negro, Marco, 2004. "The rise in comovement across national stock markets: market integration or IT bubble?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 659-680, December.
  34. LONGIN, François & SOLNIK, Bruno, 2000. "Extreme correlation of international equity markets," Les Cahiers de Recherche 705, HEC Paris.
  35. George M. von Furstenberg & Bang Nam Jeon, 1989. "International Stock Price Movements: Links and Messages," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(1), pages 125-180.
  36. Longin, François & Solnik, Bruno H, 2000. "Extreme Correlation of International Equity Markets," CEPR Discussion Papers 2538, C.E.P.R. Discussion Papers.
  37. Junsoo Lee & Walter Enders, 2004. "Testing for a unit-root with a nonlinear Fourier function," Econometric Society 2004 Far Eastern Meetings 457, Econometric Society.
  38. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  39. Bierens, Herman J, 2000. "Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the United States," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 323-37, July.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:icr:wpicer:25-2006. 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: (Simone Pellegrino)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.