Economic integration and the comovement of stock returns

We analyze how economic integration affects the cross-country comovements in stock returns, in developed and emerging markets. Bilateral trade intensity increases the correlation of returns, while real exchange rate volatility, the asymmetry of output growth and export dissimilarity decrease it.

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Year of publication:	2009
Authors:	Tavares, José
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 103.2009, 2, p. 65-67
Publisher:	Elsevier
Keywords:	Economic integration Correlation of stock returns Bilateral trade Real exchange rate volatility Asymmetry of output growth Legal and political institutions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005066273