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International Integration of Equity Markets and Contagion Effects

  • Paul Cashin
  • Manmohan S. Kumar
  • C. John McDermott

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 95/110.

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Length: 58
Date of creation: 01 Nov 1995
Date of revision:
Handle: RePEc:imf:imfwpa:95/110
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