Measuring stock market integration during the Gold Standard

Rebecca Stuart

No 21-01, IRENE Working Papers from IRENE Institute of Economic Research

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.

Keywords: stock returns; principal components analysis; Gold Standard. (search for similar items in EconPapers)
JEL-codes: G1 N2 (search for similar items in EconPapers)
Pages: 36 pages.
Date: 2021-01
New Economics Papers: this item is included in nep-fmk and nep-his
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Related works:
Journal Article: Measuring stock market integration during the Gold Standard (2024)
Journal Article: Measuring stock market integration during the Gold Standard (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:irn:wpaper:21-01

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