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Measuring stock market integration during the Gold Standard

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  • Rebecca Stuart

Abstract

This paper uses a broad geographical sample of economies to study stock market integration during the classical Gold Standard. It is novel in estimating a common or “global†component of stock market returns across all countries in the sample and studying how individual markets co-move with this. Variations in the integration of individual exchanges often appears related to large domestic financial and political crises as idiosyncratic shocks were more common than they are today. The results suggest that although overall integration rose during this period, it was low compared to more recent data. The results are robust to alternative formulations of the global component and alternative measures of returns.

Suggested Citation

  • Rebecca Stuart, 2021. "Measuring stock market integration during the Gold Standard," IRENE Working Papers 21-01, IRENE Institute of Economic Research.
  • Handle: RePEc:irn:wpaper:21-01
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stock returns; principal components analysis; Gold Standard.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • N2 - Economic History - - Financial Markets and Institutions

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    This paper has been announced in the following NEP Reports:

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