International Stock Markets Comovements: the Role of Economic and Financial Integration

ICER Working Papers from ICER - International Centre for Economic Research

Abstract: 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.

Keywords: stock markets; ?financial integration; economic integration; factor vector autoregressive models; G-7. (search for similar items in EconPapers)
JEL-codes: C32 G1 G15 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2006-07
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Citations: View citations in EconPapers (1)

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Journal Article: International stock markets comovements: the role of economic and financial integration (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpicer:25-2006

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