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Comovements in International Stock Markets

  • Andrea Beltratti

    ()

  • Claudio Morana

    ()

In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a progressive integration of the four stock markets, leading to increasing comovements in prices, returns, volatility and correlation. Evidence of a positive and non spurious linkage between volatility and correlation, and a trend increase in correlation coefficients over time, is also found. All the above mentioned linkages seem to be particularly strong for the US and Europe, while the persistent stagnation of the economy and the weak fun-damentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market

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File URL: http://servizi.sme.unito.it/icer_repec/RePEc/icr/wp2006/ICERwp3-06.pdf
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Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers with number 3-2006.

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Length: 29 pages
Date of creation: Jul 2006
Date of revision:
Handle: RePEc:icr:wpicer:3-2006
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